How does innovation's tail risk determine marginal tail risk of a stationary financial time series? (Q2386528)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | How does innovation's tail risk determine marginal tail risk of a stationary financial time series? |
scientific article |
Statements
How does innovation's tail risk determine marginal tail risk of a stationary financial time series? (English)
0 references
30 August 2005
0 references
bilinear model
0 references
tail probability
0 references
vague convergence
0 references
infinite weighted sums
0 references
moving averages
0 references
risk analysis
0 references
