The extremal index for GARCH(1,1) processes (Q907366)

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The extremal index for GARCH(1,1) processes
scientific article

    Statements

    title
    The extremal index for GARCH(1,1) processes (English)
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    author
    Fabrizio Laurini
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    Jonathan A. Tawn
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    published in
    Extremes
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    publication date
    25 January 2016
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    zbMATH Keywords
    clusters
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    extreme value theory
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    extremal index
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    finance
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    GARCH
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    bivariate regular variation
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    Identifiers

    Mathematics Subject Classification ID
    60G70
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    62G32
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    62M10
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    62G20
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    91G70
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    zbMATH DE Number
    6535207
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    OpenAlex ID
    W2047345307
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