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• W3029584791 abstract "This paper proposes a GARCH-Vine copula model to analyze the tail dependence of different stock markets based on the fat-tail and volatility clustering characteristics of financial data and use it to study the structure and tail dependence of Chinese and American stock markets. The research results show that the proposed model is feasible and effective. China and US stock markets are linked in structure and volatility. As an intermediate node and the representative of Hong Kong stock market, Hang Seng Index (HIS) connects the mainland and the US stock market, and it is easy to become a way for external risks to spread." @default.
• W3029584791 created "2020-06-05" @default.
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• W3029584791 date "2019-12-06" @default.
• W3029584791 modified "2023-09-26" @default.
• W3029584791 title "Correlation Analysis of Chinese and American Stock Markets Based on Vine-Copula Model" @default.
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• W3029584791 doi "https://doi.org/10.1145/3386415.3386970" @default.
• W3029584791 hasPublicationYear "2019" @default.
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