{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,27]],"date-time":"2025-03-27T19:12:33Z","timestamp":1743102753588,"version":"3.40.3"},"publisher-location":"Cham","reference-count":19,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783319251349"},{"type":"electronic","value":"9783319251356"}],"license":[{"start":{"date-parts":[[2015,1,1]],"date-time":"2015-01-01T00:00:00Z","timestamp":1420070400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015]]},"DOI":"10.1007\/978-3-319-25135-6_37","type":"book-chapter","created":{"date-parts":[[2015,10,8]],"date-time":"2015-10-08T06:34:10Z","timestamp":1444286050000},"page":"403-414","source":"Crossref","is-referenced-by-count":4,"title":["Volatility and Dependence for Systemic Risk Measurement of the International Financial System"],"prefix":"10.1007","author":[{"given":"Jianxu","family":"Liu","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Songsak","family":"Sriboonchitta","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Panisara","family":"Phochanachan","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jiechen","family":"Tang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2016,1,1]]},"reference":[{"issue":"2","key":"37_CR1","first-page":"182","volume":"44","author":"K Aas","year":"2009","unstructured":"Aas, K., Czado, C., Frigessi, A., Bakken, H.: Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44(2), 182\u2013198 (2009)","journal-title":"Insurance: Mathematics and Economics"},{"key":"37_CR2","doi-asserted-by":"crossref","unstructured":"Acharya, V., Pedersen, L., Philippe, T., Richardson, M.: Measuring Systemic Risk. Technical Report, Department of Finance, NYU (2010)","DOI":"10.26509\/frbc-wp-201002"},{"issue":"7","key":"37_CR3","doi-asserted-by":"publisher","first-page":"1824","DOI":"10.1016\/j.jbankfin.2010.12.011","volume":"35","author":"C Ba","year":"2011","unstructured":"Ba, C.: Recovering copulas from limited information and an application to asset allocation. Journal of Banking & Finance 35(7), 1824\u20131842 (2011)","journal-title":"Journal of Banking & Finance"},{"key":"37_CR4","doi-asserted-by":"publisher","first-page":"575","DOI":"10.1016\/j.jbankfin.2014.01.037","volume":"50","author":"GD Banulescu","year":"2015","unstructured":"Banulescu, G.D., Dumitrescu, E.I.: Which are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk. Journal of Banking & Finance 50, 575\u2013588 (2015)","journal-title":"Journal of Banking & Finance"},{"key":"37_CR5","doi-asserted-by":"crossref","unstructured":"Brownlees, T.C., Engle, R.F.: Volatility, Correlation and Tails for Systemic Risk Measurement, Working Paper, NYU-Stern (2012)","DOI":"10.2139\/ssrn.1611229"},{"key":"37_CR6","doi-asserted-by":"publisher","first-page":"229","DOI":"10.1177\/1471082X1101200302","volume":"12","author":"C Czado","year":"2012","unstructured":"Czado, C., Schepsmeier, U., Min, A.: Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12, 229\u2013255 (2012)","journal-title":"Statistical Modelling"},{"key":"37_CR7","volume-title":"Risk Management: Value at Risk and Beyond","author":"P Embrechts","year":"2002","unstructured":"Embrechts, P., McNeil, A., Straumann, D.: Correlation and dependence in risk management: properties and pitfalls. In: Dempster, M.A.H. (ed.) Risk Management: Value at Risk and Beyond. Cambridge University Press, Cambridge (2002)"},{"issue":"3","key":"37_CR8","doi-asserted-by":"publisher","first-page":"339","DOI":"10.1198\/073500102288618487","volume":"20","author":"R Engle","year":"2002","unstructured":"Engle, R.: Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business and Economic Statistics 20(3), 339\u2013350 (2002)","journal-title":"Journal of Business and Economic Statistics"},{"key":"37_CR9","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830190","volume-title":"Anticipating Correlations: A New Paradigm for Risk Management","author":"R Engle","year":"2009","unstructured":"Engle, R.: Anticipating Correlations: A New Paradigm for Risk Management. Princeton University Press, Princeton (2009)"},{"key":"37_CR10","unstructured":"Ghalanos, A.: Introduction to the rugarch package (2012). http:\/\/cran.rproject.org\/web\/packages\/rugarch Version 1.0-11"},{"issue":"1","key":"37_CR11","doi-asserted-by":"publisher","first-page":"71","DOI":"10.1016\/0304-405X(94)00821-H","volume":"39","author":"L Hentschel","year":"1995","unstructured":"Hentschel, L.: All in the family nesting symmetric and asymmetric garch models. Journal of Financial Economics 39(1), 71\u2013104 (1995)","journal-title":"Journal of Financial Economics"},{"key":"37_CR12","series-title":"Advances in Intelligent Systems and Computing","doi-asserted-by":"publisher","first-page":"283","DOI":"10.1007\/978-3-642-35443-4_20","volume-title":"Uncertainty Analysis in Econometrics with Applications","author":"J Liu","year":"2013","unstructured":"Liu, J., Sriboonchitta, S.: Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: a copula-based GARCH approach. In: Huynh, V.N., Kreinovich, V., Sriboonchitta, S., Suriya, K. (eds.) Uncertainty Analysis in Econometrics with Applications. AISC, vol. 200, pp. 283\u2013294. Springer, Heidelberg (2013)"},{"key":"37_CR13","unstructured":"Liu, J., Sriboonchitta, S., Denoeux, T.: Economic Forecasting Based on Copula Quantile Curves and Beliefs. Thai Journal of Mathematics, 25\u201338 (2014)"},{"key":"37_CR14","doi-asserted-by":"publisher","first-page":"3085","DOI":"10.1016\/j.jbankfin.2013.02.036","volume":"37","author":"RKY Low","year":"2013","unstructured":"Low, R.K.Y., Alcock, J., Faff, R., Brailsford, T.: Canonical vine copulas in the context of modern portfolio management: Are they worth it? Journal of Banking & Finance 37, 3085\u20133099 (2013)","journal-title":"Journal of Banking & Finance"},{"issue":"1","key":"37_CR15","doi-asserted-by":"publisher","first-page":"130","DOI":"10.1093\/jjfinec\/nbh006","volume":"2","author":"AJ Patton","year":"2004","unstructured":"Patton, A.J.: On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics 2(1), 130\u2013168 (2004)","journal-title":"Journal of Financial Econometrics"},{"key":"37_CR16","unstructured":"Sklar, M.: Fonctions de r\u00e9partition \u00e0 n dimensions et leurs marges, vol. 8, pp. 229\u2013231. Publications de l\u2019Institut de Statistique de L\u2019Universit\u00e9 de Paris (1959)"},{"issue":"6","key":"37_CR17","doi-asserted-by":"publisher","first-page":"793","DOI":"10.1016\/j.ijar.2013.01.004","volume":"54","author":"S Sriboonchitta","year":"2013","unstructured":"Sriboonchitta, S., Nguyen, H.T., Wiboonpongse, A., Liu, J.: Modeling volatility and dependency of agricultural price and production indices of Thailand: Static versus time-varying copulas. International Journal of Approximate Reasoning 54(6), 793\u2013808 (2013)","journal-title":"International Journal of Approximate Reasoning"},{"key":"37_CR18","doi-asserted-by":"publisher","first-page":"711","DOI":"10.1016\/j.jempfin.2011.05.004","volume":"18","author":"CC Wu","year":"2011","unstructured":"Wu, C.C., Liang, S.S.: The economic value of range-based covariance between stock and bond returns with dynamic copulas. Journal of Empirical Finance 18, 711\u2013727 (2011)","journal-title":"Journal of Empirical Finance"},{"issue":"4","key":"37_CR19","doi-asserted-by":"publisher","first-page":"1","DOI":"10.18637\/jss.v021.i04","volume":"21","author":"J Yan","year":"2007","unstructured":"Yan, J.: Enjoy the Joy of Copulas: With a Package copula. Journal of Statistical Software 21(4), 1\u201321 (2007)","journal-title":"Journal of Statistical Software"}],"container-title":["Lecture Notes in Computer Science","Integrated Uncertainty in Knowledge Modelling and Decision Making"],"original-title":[],"link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-319-25135-6_37","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,5,22]],"date-time":"2022-05-22T21:01:23Z","timestamp":1653253283000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-319-25135-6_37"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015]]},"ISBN":["9783319251349","9783319251356"],"references-count":19,"URL":"https:\/\/doi.org\/10.1007\/978-3-319-25135-6_37","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"type":"print","value":"0302-9743"},{"type":"electronic","value":"1611-3349"}],"subject":[],"published":{"date-parts":[[2015]]}}}