The extremal index for GARCH(1,1) processes (Q907366)
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scientific article; zbMATH DE number 6535207
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| English | The extremal index for GARCH(1,1) processes |
scientific article; zbMATH DE number 6535207 |
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The extremal index for GARCH(1,1) processes (English)
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25 January 2016
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clusters
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extreme value theory
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extremal index
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finance
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GARCH
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bivariate regular variation
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