Extremal memory of stochastic volatility with an application to tail shape inference (Q607175): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extremal memory of stochastic volatility with an application to tail shape inference |
scientific article |
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Extremal memory of stochastic volatility with an application to tail shape inference (English)
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19 November 2010
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stochastic volatility
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tail dependence
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convolution tail
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Hill estimator
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