A stochastic volatility model with flexible extremal dependence structure (Q282541): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60G70 / rank | |||
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| Property / Mathematics Subject Classification ID: 60B20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number: 6579703 / rank | |||
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stochastic volatility model | |||
| Property / zbMATH Keywords: stochastic volatility model / rank | |||
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extreme value behavior | |||
| Property / zbMATH Keywords: extreme value behavior / rank | |||
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asymptotic independence | |||
| Property / zbMATH Keywords: asymptotic independence / rank | |||
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tail dependence | |||
| Property / zbMATH Keywords: tail dependence / rank | |||
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extremal dependence | |||
| Property / zbMATH Keywords: extremal dependence / rank | |||
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financial time series | |||
| Property / zbMATH Keywords: financial time series / rank | |||
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hidden regular variation | |||
| Property / zbMATH Keywords: hidden regular variation / rank | |||
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power products | |||
| Property / zbMATH Keywords: power products / rank | |||
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random matrix | |||
| Property / zbMATH Keywords: random matrix / rank | |||
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Breiman's lemma | |||
| Property / zbMATH Keywords: Breiman's lemma / rank | |||
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Revision as of 18:54, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic volatility model with flexible extremal dependence structure |
scientific article |
Statements
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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