The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments

Kim, M., Yang, J. orcid.org/0000-0002-4509-1263, Song, P. et al. (1 more author) (2021) The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments. Quantitative Finance, 21 (5). pp. 815-835. ISSN 1469-7688

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Authors/Creators:
Copyright, Publisher and Additional Information: © 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an author-produced version of a paper subsequently published in Quantitative Finance. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Foreign investments; Dependence structure; TVAC model; Value-at-Risk; Expected shortfall
Dates:
  • Accepted: 14 August 2020
  • Published (online): 23 October 2020
  • Published: 4 May 2021
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 06 Aug 2021 17:03
Last Modified: 23 Apr 2022 00:38
Status: Published
Publisher: Informa UK Limited
Refereed: Yes
Identification Number: https://doi.org/10.1080/14697688.2020.1812701

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