Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations
type: Item
instance of: scholarly article
title: Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations
zbMATH Open document ID: 1165.62336
author: Nelson Muriel
author: Begoña Fernández Fernández
published in: Journal of Multivariate Analysis
publication date: 2009-06-09T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62M99
zbMATH DE Number: 5563138
zbMATH Keywords: autocovariance function
zbMATH Keywords: extreme values
zbMATH Keywords: multivariate GARCH
zbMATH Keywords: multivariate regular variation
zbMATH Keywords: point process convergence
zbMATH Keywords: stochastic recurrence equation
MaRDI profile type: Publication
full work available at URL: j.jmva.2009.01.002
OpenAlex ID: W2072069721
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DOI: 10.1016/J.JMVA.2009.01.002
description: scientific article; zbMATH DE number 5563138