Sparse moving maxima models for tail dependence in multivariate financial time series (Q1937200): Difference between revisions

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Latest revision as of 06:12, 6 July 2024

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Sparse moving maxima models for tail dependence in multivariate financial time series
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    Sparse moving maxima models for tail dependence in multivariate financial time series (English)
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    28 February 2013
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    extreme value theory
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    GMM estimator
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    value-at-risk
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    multivariate maxima of moving maxima model
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