Sparse moving maxima models for tail dependence in multivariate financial time series (Q1937200)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Sparse moving maxima models for tail dependence in multivariate financial time series |
scientific article; zbMATH DE number 6139599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse moving maxima models for tail dependence in multivariate financial time series |
scientific article; zbMATH DE number 6139599 |
Statements
Sparse moving maxima models for tail dependence in multivariate financial time series (English)
0 references
28 February 2013
0 references
extreme value theory
0 references
GMM estimator
0 references
value-at-risk
0 references
multivariate maxima of moving maxima model
0 references
0 references
0 references
0.9185714
0 references
0.8874828
0 references
0.8720554
0 references
0.8719231
0 references
0.86195934
0 references
0.86161315
0 references
0.8559563
0 references
