Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns (Q4921583)
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scientific article; zbMATH DE number 6162271
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| English | Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns |
scientific article; zbMATH DE number 6162271 |
Statements
Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns (English)
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13 May 2013
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copula
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extreme value theory
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nonparametric estimation
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stock
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tail dependence
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volatility indices
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0.90144527
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0.8999176
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0.89737636
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0.8874091
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0.8867287
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0.88651115
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0.88446265
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0.88329166
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0.88234174
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