Extreme Risk Value and Dependence Structure of the China Securities Index 300
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AbstractA time-varying copulas conditional value at risk (CVaR) model is estimated to analyze the extreme risk value and dependence structure of the China Securities Index 300 (CSI 300) and index futures portfolios. The goodness-of-fit test as well as the in-sample and out-of-sample tests show that time-varying copulas outperform constant copulas. Specifically, the Student's t, normal, Plackett, and the rotated Gumbel copulas outperform the rotated Clayton copulas.
Acceptance Date06/03/2017
All Author(s) ListTerence Tai Leung Chong, Yue Ding, Tianxiao Pang
Journal nameEconomics Bulletin
Volume Number37
Issue Number1
PublisherVanderbilt University
Place of PublicationUSA
Pages520 - 529
LanguagesEnglish-United States
KeywordsCVaR model, Time-varying copulas

Last updated on 2021-08-06 at 01:27