A simple graphical method to explore tail-dependence in stock-return pairs
Year of publication: |
2004
|
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Authors: | Abberger, Klaus |
Publisher: |
Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE) |
Subject: | Kapitalertrag | Value at Risk | Statistische Methode | chi-plot | Association | bivariate distribution | copula | correlation | local dependence | tail-dependence |
Series: | CoFE Discussion Paper ; 04/03 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 477676103 [GVK] hdl:10419/23565 [Handle] RePEc:zbw:cofedp:0403 [RePEc] |
Source: |
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A simple graphical method to explore tail-dependence in stock-return pairs
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