Extreme value theory for GARCH processes
Richard A. Davis and Thomas Mikosch
| Year of publication: |
2009
|
|---|---|
| Authors: | Davis, Richard A. ; Mikosch, Thomas |
| Published in: |
Handbook of financial time series. - Berlin, Heidelberg : Springer, ISBN 3-540-71296-8. - 2009, p. 187-200
|
| Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Risikomaß | Risk measure | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003833941