Extremal properties of M4 processes

DOI10.1007/s11749-014-0358-6zbMath1306.60060OpenAlexW2086174331MaRDI QIDQ2513932

Yanyan Li

Publication date: 29 January 2015

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-014-0358-6

zbMATH Keywords

multivariate extremesextremal indextail dependenceM4 processesco-movement index

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (2)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ A new blocks estimator for the extremal index

Cites Work

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