| Original language | English |
|---|---|
| Place of Publication | Amsterdam |
| Publisher | Tinbergen Institute/Duisenberg School of Finance |
| Number of pages | 43 |
| Publication status | Published - 2011 |
Publication series
| Name | TI 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.
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title = "Long Memory Dynamics for Multivariate Dependence under Heavy Tails",
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year = "2011",
language = "English",
series = "TI Discussion Papers",
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 paper › Professional
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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
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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).