Volatility model selection for extremes of financial time series
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Publication:1926388
DOI10.1016/j.jspi.2012.08.009zbMath1254.62108OpenAlexW1996076425MaRDI QIDQ1926388
Publication date: 28 December 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.08.009
stochastic volatilityGARCHcoefficient of tail dependenceextremal dependenceconditional tail probability
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)
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