Pages that link to "Item:Q528157"

The following pages link to Jump tails, extreme dependencies, and the distribution of stock returns (Q528157):

Displaying 12 items.

• Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• On the measurement and treatment of extremes in time series (Q508717) (← links)
• Inference on the tail process with application to financial time series modeling (Q1644260) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
• Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
• Lévy Copulas: Review of Recent Results (Q2956050) (← links)
• Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor (Q5030951) (← links)