Pages that link to "Item:Q528157"
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The following pages link to Jump tails, extreme dependencies, and the distribution of stock returns (Q528157):
Displaying 26 items.
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- Time-varying jump tails (Q473227) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Multiple structural changes in the tail behavior: Evidence from stock index futures returns (Q1003235) (← links)
- Inference on the tail process with application to financial time series modeling (Q1644260) (← links)
- Tail relation between return and volume in the US stock market: an analysis based on extreme value theory (Q1670217) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Joint threshold exceedances of stock index returns in bull and bear preriods (Q1762908) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
- COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
- Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
- Estimation of jump tails (Q2892447) (← links)
- Lévy Copulas: Review of Recent Results (Q2956050) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (Q4619518) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk (Q4991032) (← links)
- Jumps and oil futures volatility forecasting: a new insight (Q5014220) (← links)
- Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor (Q5030951) (← links)
- Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes (Q5392715) (← links)
- Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
- Persistence of jump-induced tail risk and limits to arbitrage (Q6158431) (← links)
- Rank Tests at Jump Events (Q6634863) (← links)
