Quantile correlations : uncovering temporal dependencies in financial time series
Thilo A. Schmitt and Rudi Schäfer; Holger Dette; Thomas Guhr
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403969