CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH

DOI10.1017/S0266466620000584zbMath1493.62615arXiv1902.08364OpenAlexW3128760924MaRDI QIDQ5065457

Muneya Matsui, Rasmus Søndergaard Pedersen

Publication date: 21 March 2022

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.08364

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (2)

Tails of bivariate stochastic recurrence equation with triangular matrices ⋮ Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model

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