The extremogram: a correlogram for extreme events (Q605880)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 5816129
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The extremogram: a correlogram for extreme events |
scientific article; zbMATH DE number 5816129 |
Statements
The extremogram: a correlogram for extreme events (English)
0 references
15 November 2010
0 references
GARCH
0 references
multivariate regular variation
0 references
stationary sequence
0 references
stochastic volatility process
0 references
tail dependence coefficient
0 references
0 references
0 references
0 references
0.8488091230392456
0 references
0.8409101963043213
0 references
0.8098530173301697
0 references
0.8047078847885132
0 references
0.7869768142700195
0 references
