The extremogram: a correlogram for extreme events (Q605880): Difference between revisions
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Revision as of 08:51, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The extremogram: a correlogram for extreme events |
scientific article |
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The extremogram: a correlogram for extreme events (English)
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15 November 2010
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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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