A comparison of tail behaviour of stock market returns
Year of publication: |
2014
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Authors: | Echaust, Krzysztof |
Published in: |
Folia oeconomica Stetinensia : FOS. - Szczecin : Wydawn. Naukowe Uniw. Szczecińskiego, ISSN 1730-4237, ZDB-ID 2672877-1. - Vol. 14.2014, 1, p. 22-34
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Subject: | fat tails | distribution | extremal dependence | extremal index | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Börsenkurs | Share price | Ausreißer | Outliers | Schätzung | Estimation | Aktienindex | Stock index | Volatilität | Volatility | Theorie | Theory |
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