Testing serial correlations in high-dimensional time series via extreme value theory
Year of publication: |
2020
|
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Authors: | Tsay, Ruey S. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 216.2020, 1, p. 106-117
|
Subject: | Autocorrelation | Cross-correlation | Extreme value theory | Portmanteau test | Spearman’s rho | White noise | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Autokorrelation | Ausreißer | Outliers | Statistischer Test | Statistical test | Korrelation | Correlation | Risikomaß | Risk measure |
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