Quantile correlations : uncovering temporal dependencies in financial time series
Year of publication: |
2015
|
---|---|
Authors: | Schmitt, Thilo A. ; Schäfer, Rudi ; Dette, Holger ; Guhr, Thomas |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 7, p. 1-16
|
Subject: | Quantile correlations | time series | statistical dependencies | leverage effect | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Wertpapierhandel | Securities trading | Volatilität | Volatility |
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