An implicit measure of tail dependence and its application for identification of the change of dependence between assets in market booms and crashes

Adonirio Panzieri Filho Vladimir Belitsky; Paulo Ricardo Magalhães Rocha; Fernando Pigeard de Almeida Prado

São Paulo IME-USP 2006

Localização: IME - Inst. Matemática e Estatística    (RT-MAE 2006 v.14 ) e outros locais(Acessar)