Extremal memory of stochastic volatility with an application to tail shape inference (Q607175): Difference between revisions

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Latest revision as of 12:34, 3 July 2024

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Extremal memory of stochastic volatility with an application to tail shape inference
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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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