Discovering intraday tail dependence patterns via a full-range tail dependence copula
Year of publication: |
2023
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Authors: | Hua, Lei |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 11, Art.-No. 195, p. 1-17
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Subject: | unified tail dependence measure | PPPP copula | Fama-French five factors | regression on tail dependence | multiple components GARCH | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
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