Joint extremal behavior of hidden and observable time series with applications to GARCH processes


Ehlert, Andree ; Fiebig, Ulf-Rainer ; Janßen, Anja ; Schlather, Martin


DOI: https://doi.org/10.1007/s10687-014-0206-9
URL: http://link.springer.com/article/10.1007%2Fs10687-...
Additional URL: https://arxiv.org/abs/1107.0493
Document Type: Article
Year of publication: 2015
The title of a journal, publication series: Extremes : Statistical Theory and Applications in Science, Engineering and Economics
Volume: 18
Issue number: 1
Page range: 109-140
Place of publication: Dordrecht [u.a.]
Publishing house: Springer Science + Business Media
ISSN: 1386-1999 , 1572-915X
Publication language: English
Institution: School of Business Informatics and Mathematics > Mathematische Statistik (Schlather 2012-)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Ehlert, Andree ; Fiebig, Ulf-Rainer ; Janßen, Anja ; Schlather, Martin (2015) Joint extremal behavior of hidden and observable time series with applications to GARCH processes. Extremes : Statistical Theory and Applications in Science, Engineering and Economics Dordrecht [u.a.] 18 1 109-140 [Article]


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