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