A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series

DOI10.1016/S0731-9053(05)20033-6zbMath1190.91166OpenAlexW2504695187MaRDI QIDQ3571989

Zhengjun Zhang

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20033-6

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

Extremes of multivariate ARMAX processes ⋮ On tail dependence matrices. The realization problem for parametric families ⋮ Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk

This page was built for publication: A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series