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Modeling Dependence and Tails of Financial Time Series · Study

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ChapterModeling Dependence and Tails of Financial Time Series

Thomas Mikosch2003

Chapter2003

Modeling Dependence and Tails of Financial Time Series

77 citations·0/0 files stored·Monographs on statistics and applied probability

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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2014Interdependence of oil prices and stock market indices: A copula approach 2006On the Tail Behavior of Sums of Dependent Risks 2005Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations 2006Stable limits of martingale transforms with application to the estimation of GARCH parameters 2016Modeling and predicting extreme cyber attack rates via marked point processes 2004On the foundations of multivariate heavy-tail analysis 2006On the extremal dependence coefficient of multivariate distributions 2004The Extremal Dependence Measure and Asymptotic Independence

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Year2003

Typechapter

Published2003-07-28

VenueMonographs on statistics and applied probability

ISSN-L2154-3038

Languageen

Citations77

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1201/9780203483350.ch5

openalex_workW1608358328

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