Extremes of scale mixtures of multivariate time series
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DOI: 10.1016/j.jmva.2015.02.002
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Cited by:
- Marta Ferreira & Helena Ferreira, 2017. "Analyzing the Gaver—Lewis Pareto Process under an Extremal Perspective," Risks, MDPI, vol. 5(3), pages 1-12, June.
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Keywords
Multivariate extreme value theory; Factor models; Tail dependence;All these keywords.
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