Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices

DOI10.1080/03610926.2013.791370zbMath1342.62143OpenAlexW2092255802MaRDI QIDQ5739165

Taras Bodnar, Rostyslav Bodnar, Wolfgang Schmid

Publication date: 15 July 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.791370

zbMATH Keywords

asymptotic normalityprediction intervalautoregressive processmultivariate extreme value distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84)

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