scientific article; zbMATH DE number 6448037

MaRDI QIDQ5256010zbMATH OpenFDO

Authors Burcu Hudaverdi Ucer

Publication date 22 June 2015

Full work available at URL http://www.ceser.in/ceserp/index.php/bse/article/view/2140

zbMATH Keywords

copulasextreme valuefinancial marketsCramér-von Mises

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(8)

• scientific article; zbMATH DE number 7246951 (Why is no real title available?)
• Extreme interdependency of the high-frequency data in financial markets based on Gumbel copula fuction
• Dependence estimation and visualization in multivariate extremes with applications to financial data
• Time-varying extreme value dependence with application to leading European stock markets
• Exploring the copula approach for the analysis of financial durations
• scientific article; zbMATH DE number 7246952 (Why is no real title available?)
• scientific article; zbMATH DE number 5898106 (Why is no real title available?)
• Copula structure analysis based on extreme dependence

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