Testing extreme dependence in financial time series
Year of publication: |
2018
|
---|---|
Authors: | Chaudhuri, Kausik ; Sen, Rituparna ; Tan, Zheng |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 73.2018, p. 378-394
|
Subject: | Financial dependence | GARCH | Residual and recurrence times | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | Finanzmarkt | Financial market | Statistischer Test | Statistical test |
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