Measurement of Risk Dependency in China's Automotive Industry
As one of the leading industries in the development of national economy,automo-tive industry plays an indisputable role in speeding up consumption and promoting economic development.From the two aspects of overall dependence and tail dependence,the opti-mal ARMA-GARCH-Copula model is applied to measure the risk dependence among China's automotive industry and its related industries in China.The results show that the trade dis-pute deepens the risk dependence of automotive industry and its related industries in China,in which the risk dependence among whole vehicle industry and auto parts industry is the largest,followed by steel industry,and the risk dependence between traditional financial industry and automotive industry is the least.
automotive industryrisk dependency measureARMA-GARCH-Copula model
NETL
NSTL
万方数据
