Ding, Jiaxuan and Wang, Qianqian and Chen, Minrui (2010) Industry Systemic Risk Measurement Based on GARCH-EVT Method and Copula Function. In: Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China.
![[thumbnail of 60115.pdf]](http://eprints.eai.eu/style/images/fileicons/application_pdf.png "60115.pdf")
PDF
60115.pdf
Download (450kB)
Abstract
The article uses data from the Shanghai and Shenzhen 300 Index and the Shen-wanwan Industry Index from 2010 to 2021, constructs a dynamic weighted mixed Copula model based on GARCH EVT, analyzes the dependence between each indus-try and the market tail, and explores the systematic risk contribution
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 17:17 |
| Last Modified: | 17 Apr 2026 00:12 |
| URI: | http://eprints.eai.eu/id/eprint/47685 |
Actions (login required)
- View Item