High-level dependence in time series models (Q650680)
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scientific article; zbMATH DE number 5981259
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | High-level dependence in time series models |
scientific article; zbMATH DE number 5981259 |
Statements
High-level dependence in time series models (English)
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26 November 2011
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ARCH
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COGARCH
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extreme cluster
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extreme dependence measure
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extremal index
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extreme value theory
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GARCH
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linear model
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multivariate regular variation
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nonlinear model
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Lévy-driven Ornstein-Uhlenbeck process
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random recurrence equation
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0.7990619540214539
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0.7821750640869141
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0.7797455787658691
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0.7780789732933044
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0.7753552794456482
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