Heavy tailed time series with extremal independence
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Publication:2352978
DOI10.1007/s10687-014-0213-xzbMath1333.60102arXiv1307.1501MaRDI QIDQ2352978
Publication date: 7 July 2015
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.1501
Markov chains; stochastic volatility models; multivariate regular variation; heavy tailed time series; conditional extreme value; conditional scaling exponent; extremal independence
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G70: Extreme value theory; extremal stochastic processes
91B84: Economic time series analysis
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