Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series - Faculty

Department of Mathematical Sciences

Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series

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

Richard Davis
Johannes Heiny
Mikosch, Thomas Valentin
Xiaolei Xie

Original language	English
Journal	Extremes
Volume	19
Issue number	3
Pages (from-to)	517-547
ISSN	1386-1999
DOIs	https://doi.org/10.1007/s10687-016-0251-7
Publication status	Published - 2016

ID: 167520063