Ji Ma, Jiangxu Liu, Songsak Sriboonchitta. VaR and Tail Dependence Between the US and Asian Stock Exchange Indices - An EGARCH-Copula Approach. In Antonio J. Tallón-Ballesteros, Kaicheng Li, editors, Fuzzy Systems and Data Mining III - Proceedings of FSDM 2017 [Hualien, Taiwan, November 2017]. Volume 299 of Frontiers in Artificial Intelligence and Applications, pages 79-84, IOS Press, 2017. [doi]
Abstract is missing.