Evaluating the extremal index in GARCH processes through double random walk
| Year of publication: |
2003-08-01
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| Authors: | Laurini, Fabrizio |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | GARCH processes | Regular variation | Bivariate extremes | Rejection sampling |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 175 |
| Classification: | C53 - Forecasting and Other Model Applications ; C59 - Econometric Modeling. Other |
| Source: |
Persistent link: https://www.econbiz.de/10005345715