Can asymmetric conditional volatility imply asymmetric tail dependence?
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
|
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 |
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