Volatility model selection for extremes of financial time series (Q1926388)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility model selection for extremes of financial time series |
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Volatility model selection for extremes of financial time series (English)
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28 December 2012
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coefficient of tail dependence
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conditional tail probability
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GARCH
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stochastic volatility
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extremal dependence
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