Regular variation and extremal dependence of GARCH residuals with application to market risk measures
Year of publication: |
2009
|
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Authors: | Laurini, Fabrizio ; Tawn, Jonathan A. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 28.2009, 1/3, p. 146-169
|
Subject: | ARCH-Modell | ARCH model | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Clusteranalyse | Cluster analysis | Volatilität | Volatility | Deutschland | Germany | Großbritannien | United Kingdom | 1969-2003 |
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