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  • Search: subject:"multiple components GARCH"
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ARCH model 1 ARCH-Modell 1 Ausreißer 1 Capital income 1 Fama-French five factors 1 Kapitaleinkommen 1 Multivariate Verteilung 1 Multivariate distribution 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Outliers 1 PPPP copula 1 Regression analysis 1 Regressionsanalyse 1 Risikomaß 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 multiple components GARCH 1 regression on tail dependence 1 unified tail dependence measure 1
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Hua, Lei 1
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Discovering intraday tail dependence patterns via a full-range tail dependence copula
Hua, Lei - In: Risks : open access journal 11 (2023) 11, pp. 1-17
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally thereafter. We also introduce a...
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