On the dependence structure of realized volatilities
Year of publication: |
2012
|
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Authors: | Mendes, Beatriz Vaz de Melo ; Accioly, Victor Bello |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 22.2012, p. 1-9
|
Subject: | Pair-copulas | Dependence structure | Realized volatilities | High-frequency data | Contagion | Multivariate tail dependence coefficient | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Theorie | Theory | Korrelation | Correlation | Statistische Verteilung | Statistical distribution |
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