scientific article; zbMATH DE number 5066256
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Publication:5493537
zbMath1098.62133MaRDI QIDQ5493537
Rafael Schmidt, Nicholas H. Bingham
Publication date: 23 October 2006
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
autocorrelation functionKendall's tauGARCH processtail dependencetemporal dependenceACFdistributional dependencehigh-frequency asset returns
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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