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

by Olivier Wintenberger and Thomas Mikosch

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"