High-level dependence in time series models
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Publication:650680
DOI10.1007/s10687-009-0084-8zbMath1226.60079WikidataQ102130215 ScholiaQ102130215MaRDI QIDQ650680
Martin Schlather, Claudia Klüppelberg, Vicky Fasen
Publication date: 26 November 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-009-0084-8
nonlinear model; linear model; ARCH; GARCH; extreme value theory; extremal index; multivariate regular variation; COGARCH; random recurrence equation; extreme cluster; extreme dependence measure; Lévy-driven Ornstein-Uhlenbeck process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
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