Tail dependence analysis of stock markets using extreme value theory
Abhay K. Singh, David E. Allen and Robert J. Powell
| 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 | Theorie | Theory | Ausreißer | Outliers | Aktienmarkt | Stock market | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1287858 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011844236