Measuring large comovements in financial markets (Q2873533)
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scientific article; zbMATH DE number 6250074
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| English | Measuring large comovements in financial markets |
scientific article; zbMATH DE number 6250074 |
Statements
Measuring large comovements in financial markets (English)
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24 January 2014
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copula
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filtering
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high-frequency data
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multivariate dependence measure
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Spearman's rho
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tail dependence
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tail diversification
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0.8440079092979431
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0.8181033730506897
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0.8167805671691895
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0.8008739352226257
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0.8003591895103455
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