Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns.
Yuri SalazarWing Lon NgPublished in: Commun. Stat. Simul. Comput. (2013)
Keyphrases
- chinese stock market
- stock market
- garch model
- stock price
- stock index
- stock trading
- semi parametric
- density estimation
- nonparametric regression
- kernel density estimation
- data driven
- parametric models
- monte carlo simulation
- database
- estimation accuracy
- heavy tailed
- parzen window
- estimation algorithm
- probability density function
- short term
- index structure
- stock index futures
- stock data
- least squares
- financial time series
- extreme value theory
- joint distribution
- density estimators
- statistical inference
- exchange rate
- gaussian mixture
- indexing techniques
- news articles
- probabilistic model
- optical flow
- bayesian networks