The extremogram: A correlogram for extreme events

Bernoulli

Volumn 15, Issue 4, 2009, Pages 977-1009

  Davis, Richard A ^a   Mikosch, Thomas ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

GARCH; Multivariate regular variation; Stationary sequence; Stochastic volatility process; Tail dependence coefficient

Indexed keywords

EID: 77649229701     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/09-BEJ213     Document Type: Article

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