Modeling multivariate extreme events using self-exciting point processes
Year of publication: |
2014
|
---|---|
Authors: | Grothe, Oliver ; Korniichuk, Volodymyr ; Manner, Hans |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 182.2014, 2, p. 269-289
|
Subject: | Time series | Peaks-over-threshold | Hawkes processes | Extreme value theory | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers |
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