Fangxia Lin

City University of New York (CUNY) - New York City College of Technology

300 Jay St

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

3

DOWNLOADS

272

CITATIONS

0

Scholarly Papers (3)

1.

Tail Dependence between Stock Index Returns and Foreign Exchange Rate Returns − A Copula Approach

Number of pages: 25 Posted: 22 Sep 2011
Fangxia Lin
City University of New York (CUNY) - New York City College of Technology
Downloads 178 (112,658)

Abstract:

Tail dependence, Asymmetric dependence, GARCH Model, Empirical Copula, SJC copula, Time-varying SJC copula, Maximum likelihood Method

2.

Extreme Dependence Across East Asian Financial Markets: Evidence in Equity and Currency Markets

Number of pages: 48 Posted: 09 Nov 2012
Fangxia Lin
City University of New York (CUNY) - New York City College of Technology
Downloads 40 (324,523)

Abstract:

Garch model, SJC copula, Time-varying SJC copula, Maximum likelihood Estimation, Extreme dependence, Lower tail dependency, Upper tail dependency

3.

Pricing Credit Default Swaps when Interest Rate Process and Hazard Rate Process are Stochastic

Posted: 20 Feb 2007
Fangxia Lin
City University of New York (CUNY) - New York City College of Technology

Abstract:

Credit default swaps, stochastic hazard rate process, stochastic interest rate process