DETECTING AND MODELING TAIL DEPENDENCE

DOI10.1142/S0219024904002426zbMath1088.91032MaRDI QIDQ4653012

Fabio Bellini

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Markov chainefficient market hypothesisrunsTail dependenceGarch

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (3)

Runs tests for assessing volatility forecastability in financial time series ⋮ Conditional tail behaviour and Value at Risk ⋮ Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

Cites Work

• Unnamed Item
• Estimating tails of probability distributions
• A POWER FUNCTION FOR TESTS OF RANDOMNESS IN A SEQUENCE OF ALTERNATIVES

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