Limit theory and robust evaluation methods for the extremal properties of GARCH(p, q) processes (2022)
Attributed to:
CoSInES (COmputational Statistical INference for Engineering and Security)
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1007/s11222-022-10164-5
Publication URI: http://dx.doi.org/10.1007/s11222-022-10164-5
Type: Journal Article/Review
Parent Publication: Statistics and Computing
Issue: 6