High-level dependence in time series models

Extremes

Volumn 13, Issue 1, 2010, Pages 1-33

  Fasen, Vicky ^a   Klüppelberg, Claudia ^a   Schlather, Martin ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UNIVERSITY OF GÖTTINGEN   (Germany)

Author keywords

ARCH; COGARCH; Extremal index; Extreme cluster; Extreme dependence measure; Extreme value theory; GARCH; L vy driven Ornstein Uhlenbeck process; Linear model; Multivariate regular variation; Nonlinear model; Random recurrence equation

Indexed keywords

EID: 76549114728     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-009-0084-8     Document Type: Article

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