Extremal Correlation for GARCH Data
Year of publication: |
2004-08-11
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Authors: | Quintos, Carmela |
Institutions: | Econometric Society |
Subject: | GARCH | Extreme Value Theory |
Extent: | text/plain |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econometric Society North American Summer Meetings 2004 Number 87 |
Classification: | C22 - Time-Series Models ; G15 - International Financial Markets |
Source: |
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