A stochastic volatility model with flexible extremal dependence structure (Q282541)
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scientific article; zbMATH DE number 6579703
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| English | A stochastic volatility model with flexible extremal dependence structure |
scientific article; zbMATH DE number 6579703 |
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A stochastic volatility model with flexible extremal dependence structure (English)
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12 May 2016
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stochastic volatility model
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extreme value behavior
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asymptotic independence
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tail dependence
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extremal dependence
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financial time series
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hidden regular variation
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power products
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random matrix
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Breiman's lemma
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0.8411391377449036
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0.8337171673774719
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0.8100912570953369
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0.8084971904754639
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0.8078162670135498
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