most citedExtreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series

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math.PR2016★ 3 cited

The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

Anja Janßen, Thomas Mikosch, Mohsen Rezapour +1

We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its ent…