The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
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The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process. / Matsui, Muneya ; Mikosch, Thomas Valentin.
I: Advances in Applied Probability, Bind 48 , Nr. A, 2016, s. 217 - 233.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
Matsui, M & Mikosch, TV 2016, 'The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process', Advances in Applied Probability, bind 48 , nr. A, s. 217 - 233. https://doi.org/10.1017/apr.2016.51
APA
Matsui, M., & Mikosch, T. V. (2016). The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process. Advances in Applied Probability, 48 (A), 217 - 233. https://doi.org/10.1017/apr.2016.51
Vancouver
Matsui M, Mikosch TV. The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process. Advances in Applied Probability. 2016;48 (A): 217 - 233. https://doi.org/10.1017/apr.2016.51
Author
Bibtex
@article{8d1503a06e8a4bb58e207139aef2b639,
title = "The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process",
author = "Muneya Matsui and Mikosch, {Thomas Valentin}",
year = "2016",
doi = "10.1017/apr.2016.51",
language = "English",
volume = "48 ",
pages = " 217 -- 233",
journal = "Advances in Applied Probability",
issn = "0001-8678",
publisher = "Applied Probability Trust",
number = "A",
}
RIS
TY - JOUR
T1 - The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
AU - Matsui, Muneya
AU - Mikosch, Thomas Valentin
PY - 2016
Y1 - 2016
U2 - 10.1017/apr.2016.51
DO - 10.1017/apr.2016.51
M3 - Journal article
VL - 48
SP - 217
EP - 233
JO - Advances in Applied Probability
JF - Advances in Applied Probability
SN - 0001-8678
IS - A
ER -
ID: 164184956