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most citedHeavy tailed solutions of multivariate smoothing transforms

24 citations · 83 across the 18 of their papers we have counts for

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math.PR2019★ 4 cited

Asymptotic Independence ex machina -- Extreme Value Theory for the Diagonal BEKK-ARCH(1) Model

Sebastian Mentemeier, Olivier Wintenberger

We consider multivariate stationary processes satisfying a stochastic recurrence equation of the form $$ \boldsymbol{X}_t= \mathbb{ M}_t \boldsymbol{X}_{t-1} +…