A stochastic volatility model with flexible extremal dependence structure (Q282541): Difference between revisions
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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 | |||
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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 | |||
Property / zbMATH Keywords: extremal dependence / rank | |||
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financial time series | |||
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hidden regular variation | |||
Property / zbMATH Keywords: hidden regular variation / rank | |||
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power products | |||
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random matrix | |||
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Breiman's lemma | |||
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Revision as of 18:54, 27 June 2023
scientific article
Language | Label | Description | Also known as |
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English | A stochastic volatility model with flexible extremal dependence structure |
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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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