IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v54y2025i20p6527-6535.html
   My bibliography  Save this article

On the dependence of a minimum autoregressive exponential-type process

Author

Listed:
  • Marta Ferreira

Abstract

Globalization has led to the growth of interrelations in the most varied contexts. The risk inherent in an increase in dependence between the different variables is now a concern of analysts and researchers. The dependence at the tail level is a very useful tool in the evaluation of risk and can be analyzed in the scope of the theory of extreme values. In this work, we consider an autoregressive model of minima with several applications already explored in the literature and contribute to the characterization of its extreme correlation structure.

Suggested Citation

  • Marta Ferreira, 2025. "On the dependence of a minimum autoregressive exponential-type process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 54(20), pages 6527-6535, October.
    • Handle: RePEc:taf:lstaxx:v:54:y:2025:i:20:p:6527-6535
    DOI: 10.1080/03610926.2025.2458194
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2025.2458194
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2025.2458194?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:54:y:2025:i:20:p:6527-6535. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.