The extremogram: a correlogram for extreme events (Q605880)
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scientific article
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | The extremogram: a correlogram for extreme events |
scientific article |
Statements
The extremogram: a correlogram for extreme events (English)
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15 November 2010
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GARCH
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multivariate regular variation
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stationary sequence
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stochastic volatility process
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tail dependence coefficient
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0.8488091230392456
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0.8409101963043213
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0.8098530173301697
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0.8047078847885132
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0.7869768142700195
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