Nonlinear behaviors of tail dependence and cross-correlation of financial time series model

DOI10.1155/2014/965081zbMath1407.62382OpenAlexW2065816534WikidataQ59043177 ScholiaQ59043177MaRDI QIDQ1725400

Wei Deng, Jun Wang

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/965081

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Fractals (28A80) Actuarial science and mathematical finance (91G99)

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