Theoretical Economics Letters

Vol.7 No.7(2017), Paper ID 81121, 17 pages

DOI:10.4236/tel.2017.77151

 

Risk Correlation Based on Time-Varying Copula Function and Extreme Value Theory

 

Xinlong Ji, Lu Zhou

 

The School of Finance, Lanzhou University of Finance and Economics, Lanzhou, China
Faculty of Business and Economics, Macquarie University, Sydney, Australia
The School of Finance, Renmin University of China, Beijing, China

 

Copyright © 2017 Xinlong Ji, Lu Zhou et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Ji, X. and Zhou, L. (2017) Risk Correlation Based on Time-Varying Copula Function and Extreme Value Theory. Theoretical Economics Letters, 7, 2213-2229. doi: 10.4236/tel.2017.77151.

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