Detecting structural differences in tail dependence of financial time series
Carsten Bormann and Melanie Schienle
| Year of publication: |
2020
|
|---|---|
| Authors: | Bormann, Carsten ; Schienle, Melanie |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 2, p. 380-392
|
| Subject: | Extreme values | Multiple testing | Tail asymmetry | Tail copulas | Tail dependence | Tail inequality | Theorie | Theory | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Statistischer Test | Statistical test | Schätzung | Estimation | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2018.1506343 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262482