An application of PCC model:risk measurement of extreme event in Chinese stock market
更新时间：2019-05-21
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分类号：F832.51;F224
会议名称：2nd International Conference on Science and Social Research(ICSSR 2013)
会议地点：中国北京
召开年：2013
摘要：We focus on analyzing extreme event on stock market with the pair-copula constructions (PCC) based multivariate models with GARCH (p, q) margins. We utilize the PCC model to get the estimation of join
