Detecting structural differences in tail dependence of financial time series
Carsten Bormann and Melanie Schienle
| Year of publication: |
2020
|
|---|---|
| Authors: | Bormann, Carsten ; Schienle, Melanie |
| Subject: | Extreme values | Multiple testing | Tail asymmetry | Tail copulas | Tail dependence | Tail inequality | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | Theorie | Theory | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
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