Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024

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Added9 months ago (2025-06-11 14:06:01)
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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

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