Tail dependence estimate in financial market risk management:clayton-gumbel copula approach
This paper focuses on measuring risk due to extreme events going beyond the multivariate normal distribution of joint returns. The concept of tail dependence has been found useful as a tool to describe dependence between extreme data in finance. Specifically, we adopted a multivariate Copula-EGARCH...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | en |
| Published: |
Universiti Kebangsaan Malaysia
2011
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| Online Access: | http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf http://journalarticle.ukm.my/2618/ http://www.ukm.my/jsm/ |
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