Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024
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Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024
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Total size: 114.61 MB
Added: 8 months ago (2025-06-11 14:06:01)
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Last updated: 10 hours ago (2026-03-03 12:39:48)
Description:
Textbook in PDF format
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