Joint exceedances of the ARCH process (Q4668009)

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scientific article; zbMATH DE number 2158174
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English
Joint exceedances of the ARCH process
scientific article; zbMATH DE number 2158174

    Statements

    title
    Joint exceedances of the ARCH process (English)
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    author
    M. Ivette Gomes
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    Laurens De Haan
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    Dinis Pestana
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    publication date
    18 April 2005
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    Mathematics Subject Classification ID
    60G70
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    60G10
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    60G17
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    zbMATH DE Number
    2158174
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    zbMATH Keywords
    ARCH process
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    regular variation
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    statistics of extremes
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