Testing and modelling time series with time varying tails

Dario Palumbo

Year of publication:	[2021]
Authors:	Palumbo, Dario
Publisher:	Cambridge : University of Cambridge, Faculty of Economics
Subject:	Heavy Tailed Distributions \| Extreme Events \| Score-Driven Models \| Tail Index \| Lagrange Multiplier Test \| Financial Markets \| Zeitreihenanalyse \| Time series analysis \| Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory \| Finanzmarkt \| Financial market \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Wahrscheinlichkeitsrechnung \| Probability theory

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