Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (Q3368334)

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Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
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    Statements

    title
    Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (English)
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    author
    Fabrizio Laurini
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    publication date
    27 January 2006
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    zbMATH Keywords
    Clusters
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    Extremal Index
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    GARCH models
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    Monte Carlo
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    Volatility
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    Identifiers

    zbMATH DE Number
    5002388
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    OpenAlex ID
    W1974926013
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