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Extreme value theory for GARCH processes
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 187-200). 2009
Persistent link: https://www.econbiz.de/10003833941
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Probabilistic properties of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 255-267). 2009
Persistent link: https://www.econbiz.de/10003833954
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Extremes of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 355-364). 2009
Persistent link: https://www.econbiz.de/10003833971