Tail dependence analysis of stock markets using extreme value theory
Year of publication: |
September 2017
|
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Authors: | Singh, Abhay Kumar ; Allen, David E. ; Powell, Robert |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 45, p. 4588-4599
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Subject: | Extreme risk | asymptotic dependence | heteroscedasticity | extreme value theory | Ausreißer | Outliers | Theorie | Theory | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Risikomanagement | Risk management |
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