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

DOI10.1017/apr.2016.51zbMath1426.60059arXiv1505.05385OpenAlexW2963105148MaRDI QIDQ5197406

Thomas Mikosch, Muneya Matsui

Publication date: 23 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05385

zbMATH Keywords

extremogramextremal dependenceKesten's theorembivariate GARCH(1,1)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84)

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Uses Software

• QRM

Cites Work

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