Extremal quantile autoregression for heavy-tailed time series
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Publication:2674515
DOI10.1016/j.csda.2022.107563OpenAlexW4285809404MaRDI QIDQ2674515
Yuejin Zhou, Huixia Judy Wang, Feng Yang He
Publication date: 14 September 2022
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2022.107563
extreme value theorymartingale central limit theoremheavy-tailed time seriesextreme conditional quantilesextremal quantile autoregression
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