Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (Q3368334)
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scientific article; zbMATH DE number 5002388
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| English | Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes |
scientific article; zbMATH DE number 5002388 |
Statements
Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (English)
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27 January 2006
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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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0.871200680732727
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0.82408207654953
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0.810570240020752
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0.8050234913825989
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