Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices (Q5739165)
From MaRDI portal
scientific article; zbMATH DE number 6603636
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices |
scientific article; zbMATH DE number 6603636 |
Statements
Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices (English)
0 references
15 July 2016
0 references
multivariate extreme value distribution
0 references
autoregressive process
0 references
asymptotic normality
0 references
prediction interval
0 references
0 references
0 references
0 references
