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The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
Muneya Matsui,
Thomas Valentin Mikosch
Department of Mathematical Sciences
5
Citations (Scopus)
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Dive into the research topics of 'The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process'. Together they form a unique fingerprint.
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Mathematics
Asymptotic Theory
26%
Distinct
17%
Foreign Exchange Rates
42%
GARCH
100%
Identically distributed
23%
Innovation
53%
Model
8%
Power Law
25%
Stock Prices
34%
Tail
22%
Tail Index
34%
Zero
25%