The extremogram: a correlogram for extreme events (Q605880): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 01:44, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The extremogram: a correlogram for extreme events |
scientific article |
Statements
The extremogram: a correlogram for extreme events (English)
0 references
15 November 2010
0 references
GARCH
0 references
multivariate regular variation
0 references
stationary sequence
0 references
stochastic volatility process
0 references
tail dependence coefficient
0 references