Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series

Richard Davis, Johannes Heiny, Thomas Valentin Mikosch, Xiaolei Xie

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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@article{34fb98c747c24b808a288dea8306a299,

title = "Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series",

author = "Richard Davis and Johannes Heiny and Mikosch, {Thomas Valentin} and Xiaolei Xie",

year = "2016",

doi = "10.1007/s10687-016-0251-7",

language = "English",

volume = "19",

pages = "517--547",

journal = "Extremes",

issn = "1386-1999",

publisher = "Springer",

number = "3",

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T1 - Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series

AU - Davis, Richard

AU - Heiny, Johannes

AU - Mikosch, Thomas Valentin

AU - Xie, Xiaolei

PY - 2016

Y1 - 2016

U2 - 10.1007/s10687-016-0251-7

DO - 10.1007/s10687-016-0251-7

M3 - Journal article

SN - 1386-1999

VL - 19

SP - 517

EP - 547

JO - Extremes

JF - Extremes

IS - 3

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