Volatility model selection for extremes of financial time series (Q1926388)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6118919
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Volatility model selection for extremes of financial time series |
scientific article; zbMATH DE number 6118919 |
Statements
Volatility model selection for extremes of financial time series (English)
0 references
28 December 2012
0 references
coefficient of tail dependence
0 references
conditional tail probability
0 references
GARCH
0 references
stochastic volatility
0 references
extremal dependence
0 references
0.8211842179298401
0 references
0.8058260083198547
0 references
0.7701640129089355
0 references
0.7676785588264465
0 references
0.7658697366714478
0 references
