The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (Q5197406): Difference between revisions
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scientific article; zbMATH DE number 7109542
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process |
scientific article; zbMATH DE number 7109542 |
Statements
The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (English)
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23 September 2019
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bivariate GARCH(1,1)
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Kesten's theorem
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extremogram
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extremal dependence
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