Extremes of Markov chains with tail switching potential

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 65, Issue 4, 2003, Pages 851-867

  Bortot, Paola ^a   Coles, Stuart ^b  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Autoregressive conditional heteroscedastic processes; Extremal index; Extreme value theory; Financial series; Markov chains; Multivariate extremes

Indexed keywords

EID: 0242550824     PISSN: 13697412     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.1369-7412.2003.00419.x     Document Type: Article

References (19)

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