The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

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Standard

The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. / Janßen, Anja; Mikosch, Thomas Valentin; Rezapour Toughari, Mohsen; Xie, Xiaolei.

I: Bernoulli, Bind 24, Nr. 2, 2018, s. 1351-1393.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Janßen, A, Mikosch, TV, Rezapour Toughari, M & Xie, X 2018, 'The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model', Bernoulli, bind 24, nr. 2, s. 1351-1393. https://doi.org/10.3150/16-BEJ901

APA

Janßen, A., Mikosch, T. V., Rezapour Toughari, M., & Xie, X. (2018). The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Bernoulli, 24(2), 1351-1393. https://doi.org/10.3150/16-BEJ901

Vancouver

Janßen A, Mikosch TV, Rezapour Toughari M, Xie X. The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Bernoulli. 2018;24(2):1351-1393. https://doi.org/10.3150/16-BEJ901

Author

Janßen, Anja ; Mikosch, Thomas Valentin ; Rezapour Toughari, Mohsen ; Xie, Xiaolei. / The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. I: Bernoulli. 2018 ; Bind 24, Nr. 2. s. 1351-1393.

Bibtex

@article{5a9049eb0c364dd48b903d6ad8b83ce8,
title = "The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model",
author = "Anja Jan{\ss}en and Mikosch, {Thomas Valentin} and {Rezapour Toughari}, Mohsen and Xiaolei Xie",
year = "2018",
doi = "10.3150/16-BEJ901",
language = "English",
volume = "24",
pages = "1351--1393",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "2",

}

RIS

TY - JOUR

T1 - The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

AU - Janßen, Anja

AU - Mikosch, Thomas Valentin

AU - Rezapour Toughari, Mohsen

AU - Xie, Xiaolei

PY - 2018

Y1 - 2018

U2 - 10.3150/16-BEJ901

DO - 10.3150/16-BEJ901

M3 - Journal article

VL - 24

SP - 1351

EP - 1393

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 2

ER -

ID: 183613047