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Extreme financial returns and their comovements · Study

ThesisExtreme financial returns and their comovements

Stefan T.M. Straetmans1998

Thesis1998

Extreme financial returns and their comovements

Stefan T.M. Straetmans

40 citations·0/0 files stored·EUR Research Repository (Erasmus University Rotterdam)

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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2003An Application of Extreme Value Theory for Measuring Risk 2007Portfolio selection with heavy tails 2010TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULAS 2007How long memory in volatility affects true dependence structure

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Year1998

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Published1998-01-01

VenueEUR Research Repository (Erasmus University Rotterdam)

Languageen

Citations40

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ShelfFinancial Risk and Volatility Modeling

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