Multivariate extremes for models with constant conditional correlations

Journal of Empirical Finance

Volumn 6, Issue 5, 1999, Pages 515-553

  Starica, Catalin ^a,b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b CHALMERS UNIVERSITY OF TECHNOLOGY   (Sweden)

Author keywords

C14; C49; Foreign exchange; GARCH models; Multivariate extreme value theory; Time series

Indexed keywords

EID: 0002234093     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(99)00018-3     Document Type: Article

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