The extremal index for GARCH(1,1) processes (Q907366)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The extremal index for GARCH(1,1) processes |
scientific article; zbMATH DE number 6535207
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The extremal index for GARCH(1,1) processes |
scientific article; zbMATH DE number 6535207 |
Statements
The extremal index for GARCH(1,1) processes (English)
0 references
25 January 2016
0 references
clusters
0 references
extreme value theory
0 references
extremal index
0 references
finance
0 references
GARCH
0 references
bivariate regular variation
0 references
0 references
0 references
0 references
0.871200680732727
0 references
0.8532674908638
0 references
0.8362005352973938
0 references
0.7892547845840454
0 references
0.7872833609580994
0 references
