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Extreme Value Theory for Time Series by Thomas Mikosch ...

Extreme Value Theory for Time Series by Thomas Mikosch (isbn:9783031591556)
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 s... More info...
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