Type of Publication: Article in Journal

Detecting Tail Risk Differences in Multivariate Time Series

Author(s):
Hoga, Y.
Title of Journal:
Journal of Time Series Analysis
Volume (Publication Date):
39 (2018)
pages:
665-689
Digital Object Identifier (DOI):
doi:10.1111/jtsa.12292
Link to complete version:
http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12292/epdf
Citation:
Download BibTeX

Abstract

Here is the RCode.