The extremal index for GARCH(1, 1) processes
Work
Year: 2012
Type: article
Source: Extremes
Authors Fabrizio Laurini, Jonathan A. Tawn
Institutions University of Parma, Lancaster University
Cites: 24
Cited by: 16
Related to: 10
FWCI: 1.792
Citation percentile (by year/subfield): 89.15
Subfield: Finance
Domain: Social Sciences
Open Access status: closed