Long Memory Dynamics for Multivariate Dependence under Heavy Tails

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute/Duisenberg School of Finance
Number of pages43
Publication statusPublished - 2011

Publication series

NameTI Discussion Papers
No.11-175/2/DSF28

Cite this

Janus, P., Koopman, S. J., & Lucas, A. (2011). Long Memory Dynamics for Multivariate Dependence under Heavy Tails. (TI Discussion Papers; No. 11-175/2/DSF28). Amsterdam: Tinbergen Institute/Duisenberg School of Finance.
Janus, P. ; Koopman, S.J. ; Lucas, A. / Long Memory Dynamics for Multivariate Dependence under Heavy Tails. Amsterdam : Tinbergen Institute/Duisenberg School of Finance, 2011. (TI Discussion Papers; 11-175/2/DSF28).
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year = "2011",
language = "English",
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publisher = "Tinbergen Institute/Duisenberg School of Finance",
number = "11-175/2/DSF28",
type = "WorkingPaper",
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Janus, P, Koopman, SJ & Lucas, A 2011 'Long Memory Dynamics for Multivariate Dependence under Heavy Tails' TI Discussion Papers, no. 11-175/2/DSF28, Tinbergen Institute/Duisenberg School of Finance, Amsterdam.

Long Memory Dynamics for Multivariate Dependence under Heavy Tails. / Janus, P.; Koopman, S.J.; Lucas, A.

Amsterdam : Tinbergen Institute/Duisenberg School of Finance, 2011. (TI Discussion Papers; No. 11-175/2/DSF28).

Research output: Working paperProfessional

TY - UNPB

T1 - Long Memory Dynamics for Multivariate Dependence under Heavy Tails

AU - Janus, P.

AU - Koopman, S.J.

AU - Lucas, A.

PY - 2011

Y1 - 2011

M3 - Working paper

T3 - TI Discussion Papers

BT - Long Memory Dynamics for Multivariate Dependence under Heavy Tails

PB - Tinbergen Institute/Duisenberg School of Finance

CY - Amsterdam

ER -

Janus P, Koopman SJ, Lucas A. Long Memory Dynamics for Multivariate Dependence under Heavy Tails. Amsterdam: Tinbergen Institute/Duisenberg School of Finance. 2011. (TI Discussion Papers; 11-175/2/DSF28).