Sparse moving maxima models for tail dependence in multivariate financial time series (Q1937200)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse moving maxima models for tail dependence in multivariate financial time series |
scientific article |
Statements
Sparse moving maxima models for tail dependence in multivariate financial time series (English)
0 references
28 February 2013
0 references
extreme value theory
0 references
GMM estimator
0 references
value-at-risk
0 references
multivariate maxima of moving maxima model
0 references
0 references
0 references
