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DETECTING AND MODELING TAIL DEPENDENCE - MaRDI portal

DETECTING AND MODELING TAIL DEPENDENCE (Q4653012)

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scientific article; zbMATH DE number 2139685
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English
DETECTING AND MODELING TAIL DEPENDENCE
scientific article; zbMATH DE number 2139685

    Statements

    title
    DETECTING AND MODELING TAIL DEPENDENCE (English)
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    author
    Fabio Bellini
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    publication date
    28 February 2005
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    zbMATH Keywords
    Tail dependence
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    runs
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    Garch
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    Markov chain
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    efficient market hypothesis
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    Identifiers

    zbMATH DE Number
    2139685
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