Tail Index Estimation for a Filtered Dependent Time Series (Q3449021)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail Index Estimation for a Filtered Dependent Time Series |
scientific article |
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Tail Index Estimation for a Filtered Dependent Time Series (English)
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3 November 2015
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GARCH filter
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regression residuals
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tail index estimation
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weak dependence
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