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The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process - MaRDI portal

The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (Q5197406)

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scientific article; zbMATH DE number 7109542
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English
The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
scientific article; zbMATH DE number 7109542

    Statements

    title
    The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (English)
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    author
    Muneya Matsui
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    Thomas Mikosch
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    publication date
    23 September 2019
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    zbMATH Keywords
    bivariate GARCH(1,1)
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    Kesten's theorem
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    extremogram
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    extremal dependence
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    cites work
    Q4726487
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    Q5525727
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    Q5579577
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    Q5253267
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    Q3771297
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    Heavy-Tail Phenomena
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    Identifiers

    Mathematics Subject Classification ID
    60G70
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    62M10
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    60G10
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    91B84
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    zbMATH DE Number
    7109542
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    OpenAlex ID
    W2963105148
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    arXiv ID
    1505.05385
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    DOI
    10.1017/APR.2016.51
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