Extremes of scale mixtures of multivariate time series

DOI10.1016/j.jmva.2015.02.002zbMath1320.60120arXiv1303.3413OpenAlexW1979167053MaRDI QIDQ2348444

Helena Ferreira, Marta Ferreira

Publication date: 12 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.3413

zbMATH Keywords

factor modelsmultivariate time seriestail dependencemultivariate extreme value theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80)

Related Items (max. 100)

Asymptotic dependence of bivariate maxima

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