Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns
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Keywordssimultaneity indicator; dynamic threshold for jump detection; dynamic skewness and kurtosis; Gram-Charlier likelihood; stock market comovements; extreme events;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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