Jun Wu received the B.E. degree in the Department of Mathematics from the East China Normal University, China, the M.S. degree from the Xiamen University of the Department of Mathematics, China, and the Ph. D. degree in School of Management from the Hefei University of Technology University, China, in 2007. He is currently a Professor with the School of Management, the Hefei University of Technology, China. His research interests include financial econometrics 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.