Dynamic tail dependence clustering of financial time series (Q1685205)
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scientific article; zbMATH DE number 6818146
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| default for all languages | No label defined |
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| English | Dynamic tail dependence clustering of financial time series |
scientific article; zbMATH DE number 6818146 |
Statements
Dynamic tail dependence clustering of financial time series (English)
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13 December 2017
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time series clustering
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time-varying copula functions
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tail dependence
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conditional value-at-risk
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0.9053473472595216
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0.8581910729408264
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0.8402504324913025
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0.8212276101112366
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0.8094797730445862
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