Survey_HH_2015
| dc.date.accessioned | 2021-09-24T14:33:59Z | |
| dc.date.available | 2021-09-24T14:33:59Z | |
| dc.identifier.uri | https://fif.hebis.de/xmlui/handle/123456789/1943 | |
| dc.description.abstract | We employ the log returns of the DAX, S&P 500, and FTSE 100 indexes through the sample period from January 2, 1992 to December 31, 2012, covering 4,884 trading days. Our first application is based on a bivariate model for the analysis of the clustering of extreme los and gains of an equally-weighted portfolio based on the three indexes. The second application considers a trivariate model to jointly model negative log returns of the three indexes. | |
| dc.rights | Attribution-ShareAlike 4.0 International | |
| dc.rights.uri | http://creativecommons.org/licenses/by-sa/4.0/ | |
| dc.title | Survey_HH_2015 | |
| dc.type | Research Data | |
| dc.identifier.url | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2663353 |
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