On the tail behavior of a class of multivariate conditionally heteroskedastic processes - Publications from the Department

Department of Mathematical Sciences

On the tail behavior of a class of multivariate conditionally heteroskedastic processes

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

Pedersen, Rasmus Søndergaard
Olivier Wintenberger

Original language	English
Journal	Extremes
Volume	21
Issue number	2
Pages (from-to)	261-284
ISSN	1386-1999
DOIs	https://doi.org/10.1007/s10687-017-0307-3
Publication status	Published - Jun 2018

Research areas

Stochastic recurrence equations, Markov processes, Regular variation, Multivariate ARCH, Asymptotic properties, Geometric ergodicity

Links

https://arxiv.org/pdf/1701.05091.pdf
Submitted manuscript

ID: 202192599