Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Year of publication: |
August 2016
|
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Authors: | Longin, François M. ; Pagliardi, Giovanni |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 145.2016, p. 252-254
|
Subject: | Extreme value theory | Peaks-over-threshold method | Return-volume dependence | Stock market volatility | Extreme correlation | Schätzung | Estimation | Börsenkurs | Share price | Aktienmarkt | Stock market | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Volatilität | Volatility | Handelsvolumen der Börse | Trading volume | Aktienindex | Stock index | Risikomaß | Risk measure | Korrelation | Correlation |
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