Tail-Dependence in Stock-Return Pairs
Year of publication: |
2002-11
|
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Authors: | Fortin, Ines ; Kuzmics, Christoph |
Institutions: | Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) |
Subject: | Value-at-Risk | Copula | Non-normal bivariate GARCH | Asymmetric dependence | Profile likelihood-ratio test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 126 31 pages |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C51 - Model Construction and Estimation ; G15 - International Financial Markets |
Source: |
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Tail-dependence in stock-return pairs
Fortin, Ines, (2002)
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Tail-dependence in stock-return pairs
Fortin, Ines, (2002)
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