Tail relation between return and volume in the US stock market: an analysis based on extreme value theory (Q1670217)
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scientific article; zbMATH DE number 6932047
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| English | Tail relation between return and volume in the US stock market: an analysis based on extreme value theory |
scientific article; zbMATH DE number 6932047 |
Statements
Tail relation between return and volume in the US stock market: an analysis based on extreme value theory (English)
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5 September 2018
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extreme value theory
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peaks-over-threshold method
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return-volume dependence
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stock market volatility
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extreme correlation
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0.7519344091415405
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0.7351388931274414
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0.7351388931274414
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0.7181575298309326
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