Measuring large comovements in financial markets (Q2873533)

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Measuring large comovements in financial markets
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    Statements

    title
    Measuring large comovements in financial markets (English)
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    author
    Jeremy Penzer
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    Friedrich Schmid
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    Rafael Schmidt
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    publication date
    24 January 2014
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    zbMATH Keywords
    copula
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    filtering
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    high-frequency data
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    multivariate dependence measure
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    Spearman's rho
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    tail dependence
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    tail diversification
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    91B84
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    62P05
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    62H05
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    91G20
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    zbMATH DE Number
    6250074
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    OpenAlex ID
    W2134395639
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