On the dependence structure of realized volatilities
Beatriz Vaz de Melo Mendes; Victor Bello Accioly
| Year of publication: |
2012
|
|---|---|
| Authors: | Mendes, Beatriz Vaz de Melo ; Accioly, Victor Bello |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 22.2012, p. 1-9
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| Subject: | Pair-copulas | Dependence structure | Realized volatilities | High-frequency data | Contagion | Multivariate tail dependence coefficient | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Ausreißer | Outliers |
| 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://www.econbiz.de/10010219700