A Fourier analysis of extreme events

Bernoulli

Volumn 20, Issue 2, 2014, Pages 803-845

  Mikosch, Thomas ^a   Zhao, Yuwei ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

ARMA; Asymptotic theory; Extremogram; GARCH; Multivariatiate regular variation; Periodogram; Spectral density; Stationary sequence; Stochastic volatility process; Strong mixing

Indexed keywords

EID: 84899047895     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/13-BEJ507     Document Type: Article

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