Can asymmetric conditional volatility imply asymmetric tail dependence?
Jong-Min Kim, Hojin Jung
| Year of publication: |
August 2017
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|---|---|
| Authors: | Kim, Jong-Min ; Jung, Hojin |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 409-418
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| Subject: | Copula | Granger's causality | Tail dependence | Asymmetric GARCH regression | Asymmetric conditional volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Kausalanalyse | Causality analysis | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.02.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011761287