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Nonparametric estimation of general multivariate tail dependence and applications to financial time series.

Yuri SalazarWing Lon Ng
Published in: Stat. Methods Appl. (2015)
Keyphrases
  • financial time series
  • nonparametric estimation
  • multivariate time series
  • financial time series forecasting
  • non stationary
  • short term
  • gaussian mixture model