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The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process

The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process

Muneya Matsui
T. Mikosch
ArXiv (abs)PDFHTML

Papers citing "The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process"

2 / 2 papers shown
Title
Componentwise different tail solutions for bivariate stochastic recurrence equations -- with application to GARCH(1,1) processes --
Componentwise different tail solutions for bivariate stochastic recurrence equations -- with application to GARCH(1,1) processes --
E. Damek
Muneya Matsui
Witold 'Swikatkowski
61
12
0
19 Jun 2017
On the tail behavior of a class of multivariate conditionally heteroskedastic processes
On the tail behavior of a class of multivariate conditionally heteroskedastic processes
R. Pedersen
Olivier Wintenberger
63
8
0
18 Jan 2017