Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices (Q5739165)
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scientific article; zbMATH DE number 6603636
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices |
scientific article; zbMATH DE number 6603636 |
Statements
Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices (English)
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15 July 2016
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multivariate extreme value distribution
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autoregressive process
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asymptotic normality
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prediction interval
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