Cuixia Jiang received the B.E. degree in the Department of Mathematics from the Fuyang Normal University, China, and the Ph. D. degree in School of Management from the Tianjin University, China, in 2008. She is currently an Associated Professor with the School of Management, Hefei University of Technology, China. Her current research interests include financial big data analysis, financial time series analysis, and statistical learning.
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.