{"id":"https://openalex.org/W4407809914","doi":"https://doi.org/10.3233/978-1-61499-828-0-79","title":"VaR and Tail Dependence Between the US and Asian Stock Exchange Indices&amp;mdash;An EGARCH-Copula Approach","display_name":"VaR and Tail Dependence Between the US and Asian Stock Exchange Indices&amp;mdash;An EGARCH-Copula Approach","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W4407809914","doi":"https://doi.org/10.3233/978-1-61499-828-0-79"},"language":"en","primary_location":{"id":"doi:10.3233/978-1-61499-828-0-79","is_oa":false,"landing_page_url":"https://doi.org/10.3233/978-1-61499-828-0-79","pdf_url":null,"source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5109363373","display_name":"Ma Ji","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ma Ji","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5116362664","display_name":"Liu Jiangxu","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Liu Jiangxu","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5116362665","display_name":"Sriboonchitta Songsak","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Sriboonchitta Songsak","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.71091829,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9545999765396118,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9545999765396118,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9524999856948853,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9007999897003174,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.780830979347229},{"id":"https://openalex.org/keywords/tail-dependence","display_name":"Tail dependence","score":0.4688119888305664},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4620518088340759},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.44289320707321167},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2805975079536438},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.22049206495285034},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.0656457245349884}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.780830979347229},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.4688119888305664},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4620518088340759},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.44289320707321167},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2805975079536438},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22049206495285034},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.0656457245349884}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3233/978-1-61499-828-0-79","is_oa":false,"landing_page_url":"https://doi.org/10.3233/978-1-61499-828-0-79","pdf_url":null,"source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2586128247","https://openalex.org/W2907698882","https://openalex.org/W2362429250","https://openalex.org/W222700272","https://openalex.org/W2279180773","https://openalex.org/W1552518416","https://openalex.org/W3036914094","https://openalex.org/W1589570794","https://openalex.org/W2751745463","https://openalex.org/W3086340936"],"abstract_inverted_index":{"This":[0],"paper":[1],"uses":[2],"the":[3,8,17,21,44,51,57,67],"eGARCH-Copula":[4,45],"model":[5,46],"to":[6],"examine":[7],"tail":[9,52,73],"dependence":[10,53,68,74],"and":[11,23,36,54,59,63,75],"Value":[12],"at":[13],"Risk":[14],"(VaR)":[15],"of":[16,20,29],"log":[18],"returns":[19],"US":[22,58],"Asian":[24,60],"exchange":[25],"indices":[26],"as":[27],"pairs":[28],"portfolio":[30],"in":[31,35],"three":[32],"periods:":[33],"before,":[34],"after":[37,64],"finance":[38,65],"crisis.":[39],"The":[40],"results":[41],"indicated":[42],"that":[43],"works":[47],"well":[48],"on":[49,72],"measuring":[50],"VaR":[55],"between":[56],"stock":[61],"market;":[62],"crisis,":[66],"structure":[69],"changed":[70],"including":[71],"VaR.":[76]},"counts_by_year":[],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
