Stochastic volatility models with possible extremal clustering

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Stochastic volatility models with possible extremal clustering. / Mikosch, Thomas Valentin; Rezapur, Mohsen.

In: Bernoulli, Vol. 19, No. 5A, 2013, p. 1688-1713.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Mikosch, TV & Rezapur, M 2013, 'Stochastic volatility models with possible extremal clustering', Bernoulli, vol. 19, no. 5A, pp. 1688-1713. https://doi.org/10.3150/12-BEJ426

APA

Mikosch, T. V., & Rezapur, M. (2013). Stochastic volatility models with possible extremal clustering. Bernoulli, 19(5A), 1688-1713. https://doi.org/10.3150/12-BEJ426

Vancouver

Mikosch TV, Rezapur M. Stochastic volatility models with possible extremal clustering. Bernoulli. 2013;19(5A):1688-1713. https://doi.org/10.3150/12-BEJ426

Author

Mikosch, Thomas Valentin ; Rezapur, Mohsen. / Stochastic volatility models with possible extremal clustering. In: Bernoulli. 2013 ; Vol. 19, No. 5A. pp. 1688-1713.

Bibtex

@article{28f06135ceb0477ca33d0b0b1018c6fe,
title = "Stochastic volatility models with possible extremal clustering",
author = "Mikosch, {Thomas Valentin} and Mohsen Rezapur",
year = "2013",
doi = "10.3150/12-BEJ426",
language = "English",
volume = "19",
pages = "1688--1713",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "5A",

}

RIS

TY - JOUR

T1 - Stochastic volatility models with possible extremal clustering

AU - Mikosch, Thomas Valentin

AU - Rezapur, Mohsen

PY - 2013

Y1 - 2013

U2 - 10.3150/12-BEJ426

DO - 10.3150/12-BEJ426

M3 - Journal article

VL - 19

SP - 1688

EP - 1713

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 5A

ER -

ID: 94844336