A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences

DOI10.1515/1558-3708.1881zbMath1506.62521OpenAlexW2124890236MaRDI QIDQ5881651

Jose Olmo, Unnamed Author

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/1558-3708.1881

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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