Detecting Tail Risk Differences in Multivariate Time Series
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Publication:4684332
DOI10.1111/JTSA.12292zbMath1401.62157OpenAlexW2789735403MaRDI QIDQ4684332
Publication date: 28 September 2018
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12292
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)
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