Extreme value theory for GARCH processes

Original language	English
Title of host publication	Handbook of Financial Time Series
Editors	Torben G. Andersen, Richard A. Davis, Jens-Peter Kreiss, Thomas Mikosch
Place of Publication	Berlin, Heidelberg
Publisher	Springer
Publication date	2009
Pages	187-200
ISBN (Print)	978-3-540-71296-1
Publication status	Published - 2009

Cite this

@inbook{248875e022c811de9f0a000ea68e967b,

title = "Extreme value theory for GARCH processes",

author = "Mikosch, {Thomas Valentin}",

year = "2009",

language = "English",

isbn = "978-3-540-71296-1",

pages = "187--200",

editor = "Andersen, {Torben G.} and Davis, {Richard A.} and Jens-Peter Kreiss and Thomas Mikosch",

booktitle = "Handbook of Financial Time Series",

publisher = "Springer",

}