Tail dependence estimate in financial market risk management:clayton-gumbel copula approach

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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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Bibliographic Details
Main Authors:	Shamiri, Hamzah .N.A, Pirmoradian .A
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2011
Online Access:	http://journalarticle.ukm.my/2618/ http://journalarticle.ukm.my/2618/1/16_A.Shamiri.pdf

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