Open AccessOn the Tail Behavior of a Class of Multivariate Conditionally Heteroskedastic Processes
Author(s) -
Rasmus Hundsbæk Pedersen,
Olivier Wintenberger
Publication year - 2017
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2900201
Subject(s) - heteroscedasticity , mathematics , ergodicity , multivariate statistics , autoregressive model , arch , covariance , econometrics , scaling , parametrization (atmospheric modeling) , statistical physics , statistics , physics , geometry , civil engineering , quantum mechanics , engineering , radiative transfer
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