On the tail behavior of a class of multivariate conditionally heteroskedastic processes
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On the tail behavior of a class of multivariate conditionally heteroskedastic processes. / Pedersen, Rasmus Sondergaard; Wintenberger, Olivier.
In: Extremes, Vol. 21, No. 2, 06.2018, p. 261-284.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - On the tail behavior of a class of multivariate conditionally heteroskedastic processes
AU - Pedersen, Rasmus Sondergaard
AU - Wintenberger, Olivier
PY - 2018/6
Y1 - 2018/6
KW - Stochastic recurrence equations
KW - Markov processes
KW - Regular variation
KW - Multivariate ARCH
KW - Asymptotic properties
KW - Geometric ergodicity
U2 - 10.1007/s10687-017-0307-3
DO - 10.1007/s10687-017-0307-3
M3 - Journal article
VL - 21
SP - 261
EP - 284
JO - Extremes
JF - Extremes
SN - 1386-1999
IS - 2
ER -
ID: 202192599