Tail dependence measure for examining financial extreme co-movements (Q308388)
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scientific article; zbMATH DE number 6623661
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail dependence measure for examining financial extreme co-movements |
scientific article; zbMATH DE number 6623661 |
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Tail dependence measure for examining financial extreme co-movements (English)
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6 September 2016
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asymptotic dependence and independence
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copula
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extreme co-movement
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Kendall's tau
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measure of association
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