Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
| Year of publication: |
2009
|
|---|---|
| Authors: | Laurini, Fabrizio ; Tawn, Jonathan |
| Published in: |
Econometric reviews. - Philadelphia, Pa : Taylor & Francis, ISSN 0731-1761, ZDB-ID 7974632. - Vol. 28.2009, 1, p. 146-169
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