Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach (Q3099486)
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scientific article; zbMATH DE number 5983978
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| English | Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach |
scientific article; zbMATH DE number 5983978 |
Statements
1 December 2011
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copulas
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EGARCH model
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risk measures
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tail dependence
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0.8094017505645752
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0.8003856539726257
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0.7986053824424744
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0.7875237464904785
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0.7866400480270386
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