Standard
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. / Janßen, Anja; Mikosch, Thomas Valentin; Rezapour Toughari, Mohsen; Xie, Xiaolei.
In:
Bernoulli, Vol. 24, No. 2, 2018, p. 1351-1393.
Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
Janßen, A
, Mikosch, TV, Rezapour Toughari, M & Xie, X 2018, '
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model',
Bernoulli, vol. 24, no. 2, pp. 1351-1393.
https://doi.org/10.3150/16-BEJ901
APA
Janßen, A.
, Mikosch, T. V., Rezapour Toughari, M., & Xie, X. (2018).
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model.
Bernoulli,
24(2), 1351-1393.
https://doi.org/10.3150/16-BEJ901
Vancouver
Janßen A
, Mikosch TV, Rezapour Toughari M, Xie X.
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model.
Bernoulli. 2018;24(2):1351-1393.
https://doi.org/10.3150/16-BEJ901
Author
Janßen, Anja ; Mikosch, Thomas Valentin ; Rezapour Toughari, Mohsen ; Xie, Xiaolei. / The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. In: Bernoulli. 2018 ; Vol. 24, No. 2. pp. 1351-1393.
Bibtex
@article{5a9049eb0c364dd48b903d6ad8b83ce8,
title = "The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model",
author = "Anja Jan{\ss}en and Mikosch, {Thomas Valentin} and {Rezapour Toughari}, Mohsen and Xiaolei Xie",
year = "2018",
doi = "10.3150/16-BEJ901",
language = "English",
volume = "24",
pages = "1351--1393",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "2",
}
RIS
TY - JOUR
T1 - The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
AU - Janßen, Anja
AU - Mikosch, Thomas Valentin
AU - Rezapour Toughari, Mohsen
AU - Xie, Xiaolei
PY - 2018
Y1 - 2018
U2 - 10.3150/16-BEJ901
DO - 10.3150/16-BEJ901
M3 - Journal article
VL - 24
SP - 1351
EP - 1393
JO - Bernoulli
JF - Bernoulli
SN - 1350-7265
IS - 2
ER -