Long memory dynamics for multivariate dependence under heavy tails
Year of publication: |
2014
|
---|---|
Authors: | Janus, Paweł ; Koopman, Siem Jan ; Lucas, André |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 187-206
|
Subject: | Fractional integration | Correlation | Student's t copula | Time-varying dependence | Multivariate volatility | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Korrelation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
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