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VaR and Tail Dependence Between the US and Asian Stock Exchange Indices—An EGARCH-Copula Approach
Ji Ma, Jiangxu Liu, Songsak Sriboonchitta
79 - 84
10.3233/978-1-61499-828-0-79
Frontiers in Artificial Intelligence and Applications
Volume 299: Fuzzy Systems and Data Mining III
Abstract

This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR.

$35.00 / €27.50 / £22.00
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