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Latest revision as of 23:55, 11 July 2024

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A stochastic volatility model with flexible extremal dependence structure
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    A stochastic volatility model with flexible extremal dependence structure (English)
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    12 May 2016
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    stochastic volatility model
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    extreme value behavior
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    asymptotic independence
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    tail dependence
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    extremal dependence
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    financial time series
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    hidden regular variation
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    power products
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    random matrix
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    Breiman's lemma
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