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Nonparametric estimation of general multivariate tail dependence and applications to
financial
time series
作者:
Yuri
Salazar
(1)
Wing
Lon
Ng (2)
1.
Centre
for
Financial
Risk
;
Faculty of Business and Economics
;
Macquarie University
;
Sydney
;
NSW
;
2109
;
Australia
2.
Centre
for Computational Finance and Economic Agents (CCFEA)
;
University of Essex
;
Wivenhoe Park
;
Colchester
;
CO4 3SQ
;
UK
关键词:
Tail dependence
;
Copula
;
Nonparametric estimation
;
Financial
asset returns
;
C14
;
C15
;
C58
;
G11
刊名:Statistical Methods & Applications
出版年:2015
1
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作者(1)
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2015年(1)
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