192 citations · 415 across the 7 of their papers we have counts for
1 paper · 1 filter
Yun-Shi Dai, Peng-Fei Dai, Wei-Xing Zhou
This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the…