Extreme Value Theory for Time Series: Models with Power-Law Tails

by Olivier Wintenberger and Thomas Mikosch

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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 to the exploration of regularly varying...

Format:Hardcover

Language:English

ISBN:3031591550

ISBN13:9783031591556

Release Date:August 2024

Publisher:Springer

Length:766 Pages

Weight:2.79 lbs.

Dimensions:1.6" x 6.1" x 9.2"

Related Subjects

Math Mathematics Science & Math

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Extreme Value Theory for Time Series: Models with Power-Law Tails

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