Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
Year of publication: |
2022
|
---|---|
Authors: | Mentemeier, Sebastian ; Wintenberger, Olivier |
Published in: |
Journal of Time Series Analysis. - Oxford, UK : John Wiley & Sons, Ltd, ISSN 1467-9892. - Vol. 43.2022, 5, p. 750-780
|
Publisher: |
Oxford, UK : John Wiley & Sons, Ltd |
Subject: | Stochastic recurrence equations | multivariate ARCH | multivariate regular variation | nonâstandard regular variation |
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