{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,22]],"date-time":"2025-02-22T05:27:41Z","timestamp":1740202061805,"version":"3.37.3"},"reference-count":0,"publisher":"IOS Press","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2017]]},"abstract":"<jats:p>This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR.<\/jats:p>","DOI":"10.3233\/978-1-61499-828-0-79","type":"book-chapter","created":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T10:26:53Z","timestamp":1740133613000},"source":"Crossref","is-referenced-by-count":0,"title":["VaR and Tail Dependence Between the US and Asian Stock Exchange Indices&amp;mdash;An EGARCH-Copula Approach"],"prefix":"10.3233","author":[{"family":"Ma Ji","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"family":"Liu Jiangxu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"family":"Sriboonchitta Songsak","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"7437","container-title":["Frontiers in Artificial Intelligence and Applications","Fuzzy Systems and Data Mining III"],"original-title":[],"deposited":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T11:21:09Z","timestamp":1740136869000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.medra.org\/servlet\/aliasResolver?alias=iospressISBN&isbn=978-1-61499-827-3&spage=79&doi=10.3233\/978-1-61499-828-0-79"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017]]},"references-count":0,"URL":"https:\/\/doi.org\/10.3233\/978-1-61499-828-0-79","relation":{},"ISSN":["0922-6389"],"issn-type":[{"value":"0922-6389","type":"print"}],"subject":[],"published":{"date-parts":[[2017]]}}}