Application of copula CoVaR models in systemic risk of Taiwan security market
碩士 === 國立政治大學 === 經濟學系 === 105 === In this paper, we first apply copula model to capture the relationship be-tween Taiwan securities market and major international markets across the financial tsunami in 2007. The systemic risk for Taiwan’s securities market is then measured by CoVaR while other mar...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/3vk983 |