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Analysis of systemic risk: A vine copula-based ARMA-GARCH model
Kuan Heng Chen
, Khaldoun Khashanah
School of Business
Stevens Institute of Technology
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Article
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peer-review
9
Scopus citations
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Economics, Econometrics and Finance
Copula
100%
Scientific Modelling
50%
Generalized Autoregressive Conditional Heteroskedasticity
50%
Market
25%
Share
25%
Stock
25%