Extreme Value Theory for Time Series
This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models.
Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted...
This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models.
Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted...
