Joint exceedances of the arch process

Journal of Applied Probability

Volumn 41, Issue 3, 2004, Pages 919-926

  Ivette Gomes, M ^a   De Hann, Laurens ^b   Pestana, Dinis ^a  

^a UNIVERSITY OF LISBON   (Portugal)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

ARCH process; Regular variation; Statistics of extremes

Indexed keywords

EID: 10244222405     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1091543434     Document Type: Article

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