The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
Research output: Contribution to journal › Journal article › Research › peer-review
| Original language | English |
|---|---|
| Journal | Advances in Applied Probability |
| Volume | 48 |
| Issue number | A |
| Pages (from-to) | 217 - 233 |
| ISSN | 0001-8678 |
| DOIs | |
| Publication status | Published - 2016 |
ID: 164184956