Extremal behaviour of models with multivariate random recurrence representation
DOI10.1016/J.SPA.2006.09.001zbMATH Open1118.60060OpenAlexW1968920451MaRDI QIDQ875906FDOQ875906
Authors: Claudia Klüppelberg, Serguei Pergamenchtchikov 
Publication date: 16 April 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.09.001
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Cited In (12)
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- Regularly varying multivariate time series
- Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
- Extreme-value asymptotics for affine random walks
- Large excursions and conditioned laws for recursive sequences generated by random matrices
- Extremal behavior of recurrent random sequences
- Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
- Stochastic volatility models with possible extremal clustering
- Recurrence and Transience of Near-Critical Multivariate Growth Models: Criteria and Examples
- On convergence of kernel estimators of density with variable window width by dependent observations
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
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