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  • Search: subject:"Multivariate tail dependence coefficient"
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Year of publication
Subject
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Contagion 2 Dependence structure 2 High-frequency data 2 Multivariate tail dependence coefficient 2 Pair-copulas 2 Realized volatilities 2 Ausreißer 1 Capital income 1 Correlation 1 Kapitaleinkommen 1 Korrelation 1 Multivariate Verteilung 1 Multivariate distribution 1 Outliers 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Accioly, Victor Bello 2 Mendes, Beatriz Vaz de Melo 2
Published in...
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International Review of Financial Analysis 1 International review of financial analysis 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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On the dependence structure of realized volatilities
Mendes, Beatriz Vaz de Melo; Accioly, Victor Bello - In: International Review of Financial Analysis 22 (2012) C, pp. 1-9
Volatility plays an important role when managing risks, composing portfolios, and pricing financial instruments. However it is not directly observable, being usually estimated through parametric models such as those in the GARCH family. A more natural empirical measure of daily returns...
Persistent link: https://www.econbiz.de/10010574540
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Cover Image
On the dependence structure of realized volatilities
Mendes, Beatriz Vaz de Melo; Accioly, Victor Bello - In: International review of financial analysis 22 (2012), pp. 1-9
Persistent link: https://www.econbiz.de/10010219700
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