Tail dependence measure for examining financial extreme co-movements
Year of publication: |
October 2016
|
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Authors: | Asimit, Alexandru V. ; Gerrard, Russell ; Hou, Yanxi ; Peng, Liang |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 330-348
|
Subject: | Asymptotic dependence and independence | Copula | Extreme co-movement | Kendall's tau | Measure of association | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Messung | Measurement | Theorie | Theory |
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