Extremal dependence tests for contagion (Q5862490)
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scientific article; zbMATH DE number 7486307
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Extremal dependence tests for contagion |
scientific article; zbMATH DE number 7486307 |
Statements
Extremal dependence tests for contagion (English)
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9 March 2022
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co-skewness
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co-kurtosis
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co-volatility
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contagion testing
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extremal dependence
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financial crisis
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Lagrange multiplier tests
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0.8488605618476868
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0.8334721326828003
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0.8031678199768066
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0.786578893661499
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0.7834513783454895
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