Extremal memory of stochastic volatility with an application to tail shape inference (Q607175)
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scientific article; zbMATH DE number 5817704
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| English | Extremal memory of stochastic volatility with an application to tail shape inference |
scientific article; zbMATH DE number 5817704 |
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Extremal memory of stochastic volatility with an application to tail shape inference (English)
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19 November 2010
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stochastic volatility
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tail dependence
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convolution tail
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Hill estimator
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0.89839906
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0.8951813
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0.8885952
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0.8841187
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0.8834834
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0.8803421
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