@misc{HautschHerrera2015,
  author    = {Nikolaus Hautsch and Rodrigo Herrera},
  title     = {Multivariate dynamic intensity peaks-over-threshold models},
  booktitle = {Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 516},
  number    = {September 16, 2015},
  doi       = {10.2139/ssrn.2663353},
  url       = {http://ssrn.com/abstract=2663353},
  institution = {Wirtschaftswissenschaften},
  series    = {CFS working paper series},
  number    = {516},
  type      = {workingpaper},
  pages     = {43},
  year        = {2015},
}