Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Standard

Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach. / Pedersen, Rasmus Søndergaard; Matsui, Muneya.

I: Econometric Theory, 04.02.2021.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Harvard

Pedersen, RS & Matsui, M 2021, 'Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach', Econometric Theory.

APA

Pedersen, R. S., & Matsui, M. (2021). Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach. Econometric Theory.

Vancouver

Pedersen RS, Matsui M. Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach. Econometric Theory. 2021 feb 4.

Author

Pedersen, Rasmus Søndergaard ; Matsui, Muneya. / Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach. I: Econometric Theory. 2021.

Bibtex

@article{34d3a47f6d2141f2be3147327d93d079,
title = "Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach",
author = "Pedersen, {Rasmus S{\o}ndergaard} and Muneya Matsui",
year = "2021",
month = "2",
day = "4",
language = "English",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",

}

RIS

TY - JOUR

T1 - Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

AU - Pedersen, Rasmus Søndergaard

AU - Matsui, Muneya

PY - 2021/2/4

Y1 - 2021/2/4

M3 - Journal article

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

ER -

ID: 255114439