Extremal properties of M4 processes
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DOI: 10.1007/s11749-014-0358-6
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More about this item
Keywords
Multivariate extremes; M4 processes; Tail dependence; Extremal index; Co-movement index; 60G70;All these keywords.
JEL classification:
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
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