Regular variation and extremal dependence of GARCH residuals with application to market risk measures

Fabrizio Laurini and Jonathan A. Tawn

Year of publication:	2009
Authors:	Laurini, Fabrizio ; Tawn, Jonathan A.
Published in:	Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 28.2009, 1/3, p. 146-169
Subject:	ARCH-Modell \| ARCH model \| Börsenkurs \| Share price \| Prognoseverfahren \| Forecasting model \| Clusteranalyse \| Cluster analysis \| Volatilität \| Volatility \| Deutschland \| Germany \| Großbritannien \| United Kingdom \| 1969-2003

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