A new class of tail-dependent time-series models and its applications in financial time series
Year of publication: |
2006
|
---|---|
Authors: | Zhang, Zhengjun |
Published in: |
Econometric analysis of financial and economic time series ; part B ; 20. - Amsterdam [u.a.] : Elsevier JAI, ISBN 0-7623-1273-4. - 2006, p. 317-352
|
Subject: | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Theorie | Theory | USA | United States | 1962-2003 |
-
Time irreversibility and EGARCH effects in US stock index returns
Chen, Yi-ting, (2002)
-
Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
Mikosch, Thomas, (2004)
-
Long-term dependence in stock returns
Barkoulas, John T., (1996)
- More ...
-
Extreme co-movements and extreme impacts in high frequency data in finance
Zhang, Zhengjun, (2007)
-
A generalized beta copula with applications in modeling multivariate long-tailed data
Yang, Xipei, (2011)
-
Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong, (2015)
- More ...