Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853)
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scientific article; zbMATH DE number 5563138
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations |
scientific article; zbMATH DE number 5563138 |
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Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (English)
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9 June 2009
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autocovariance function
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extreme values
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multivariate GARCH
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multivariate regular variation
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point process convergence
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stochastic recurrence equation
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