Long memory dynamics for multivariate dependence under heavy tails
Paweł Janus; Siem Jan Koopman; André Lucas
| Year of publication: |
2014
|
|---|---|
| Authors: | Janus, Paweł ; Koopman, Siem Jan ; Lucas, André |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 187-206
|
| Subject: | Fractional integration | Correlation | Student's t copula | Time-varying dependence | Multivariate volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Korrelation | Theorie | Theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011300485