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Search: subject:"tail dependence"
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Theory
Tail dependence
183
tail dependence
171
Multivariate Verteilung
165
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165
Statistische Verteilung
129
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128
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104
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Weigert, Florian
4
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3
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3
Chabi-Yo, Fousseni
3
Einmahl, John H. J.
3
Furman, Edward
3
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3
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3
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3
Su, Jianxi
3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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Insurance / Mathematics & economics
9
International review of financial analysis
5
Risks : open access journal
5
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4
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3
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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3
SFB 649 discussion paper
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2
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2
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2
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2
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2
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2
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2
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2
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
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1
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1
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1
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1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
European financial management : the journal of the European Financial Management Association
1
European journal of operational research : EJOR
1
Finance a úvěr
1
IMES discussion paper series / Englische Ausgabe
1
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1
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1
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1
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ECONIS (ZBW)
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91
Long memory and
tail
dependence
in trading volume and volatility
Rossi, Eduardo
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
22
(
2013
),
pp. 94-112
Persistent link: https://www.econbiz.de/10009768422
Saved in:
92
Portfolio selection : an extreme value approach
DiTraglia, Francis J.
;
Gerlach, Jeffrey R.
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 305-323
Persistent link: https://www.econbiz.de/10009705699
Saved in:
93
The structure and degree of dependence : a quantile regression approach
Baur, Dirk G.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 786-798
Persistent link: https://www.econbiz.de/10009708741
Saved in:
94
Crash aversion and extreme dependence structures in asset pricing
Weigert, Florian
-
2013
Persistent link: https://www.econbiz.de/10010191721
Saved in:
95
Multivariate patchwork copulas : a unified approach with applications to partial comonotonicity
Durante, Fabrizio
;
Sánchez, Juan Fernández
;
Sempi, Carlo
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 897-905
Persistent link: https://www.econbiz.de/10010227787
Saved in:
96
A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Wang, Yi-chiuan
;
Wu, Yyh-lin
;
Lai, Yi-hao
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1706-1719
Persistent link: https://www.econbiz.de/10009729473
Saved in:
97
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
98
On the dependence structure of realized volatilities
Mendes, Beatriz Vaz de Melo
;
Accioly, Victor Bello
- In:
International review of financial analysis
22
(
2012
),
pp. 1-9
Persistent link: https://www.econbiz.de/10010219700
Saved in:
99
Modelling the bivariate dependence structure of exchange rates before and after the introduction of the Euro : a semi-parametric approach
Boero, Gianna
;
Silvapulle, Paramsothy
;
Tursunalieva, Ainura
- In:
International journal of finance & economics : IJFE
16
(
2011
)
4
,
pp. 357-374
Persistent link: https://www.econbiz.de/10009508876
Saved in:
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