Search Results - subject:"Multivariate regular variation"

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Characterization of multivariate heavy-tailed distribution families via copula

Weng, Chengguo; Zhang, Yi - In: Journal of Multivariate Analysis 106 (2012) C, pp. 178-186

The multivariate regular variation (MRV) is one of the most important tools in modeling multivariate heavy …

Persistent link: https://www.econbiz.de/10010572304

The extremal index for GARCH(1,1) processes with t-distributed innovations

Laurini, F.; Tawn, J. A. - Facoltà di Economia, Università degli Studi di Parma - 2006

Generalised autoregressive conditional heteroskedastic (GARCH) processes have wide application in financial modelling. To characterise the extreme values of this process the extremal index is required. Mikosch and Starica (2000) derive the extremal index for the squared GARCH(1,1) process. Here...

Persistent link: https://www.econbiz.de/10005272738

Abelian and Tauberian theorems for the Laplace transform of functions in several variables

Omey, E.; Willekens, E. - In: Journal of Multivariate Analysis 30 (1989) 2, pp. 292-306

Using two kinds of multivariate regular variation we prove several Abel-Tauber theorems for the Laplace transform of …

Persistent link: https://www.econbiz.de/10005221405