Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (Q3368334)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes |
scientific article |
Statements
Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (English)
0 references
27 January 2006
0 references
Clusters
0 references
Extremal Index
0 references
GARCH models
0 references
Monte Carlo
0 references
Volatility
0 references
