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The extremogram: a correlogram for extreme events - MaRDI portal

The extremogram: a correlogram for extreme events (Q605880)

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The extremogram: a correlogram for extreme events
scientific article

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    title
    The extremogram: a correlogram for extreme events (English)
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    DOI
    10.3150/09-BEJ213
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    author
    Richard A. Davis
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    Thomas Mikosch
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    published in
    Bernoulli
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    publication date
    15 November 2010
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    Mathematics Subject Classification ID
    62M10
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    62G32
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    62P05
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    62F05
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    62M15
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    zbMATH DE Number
    5816129
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    zbMATH Keywords
    GARCH
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    multivariate regular variation
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    stationary sequence
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    stochastic volatility process
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    tail dependence coefficient
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    arXiv ID
    1001.1821
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    cites work
    Statistics of Extremes
    0 references
    Q4726487
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    Q5525727
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    Q4343010
    0 references
    Q5829358
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    Q5485944
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    Q3333815
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    Q4085018
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    Q4000411
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    Q3771297
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    Heavy-Tail Phenomena
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    Q4301585
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    OpenAlex ID
    W3102144486
    0 references
     
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