Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984): Difference between revisions
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Revision as of 05:52, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes |
scientific article |
Statements
Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (English)
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9 December 2022
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cluster of extremes
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extremal index
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fixed point distributions
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GARCH process
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multivariate regular variation
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particle filtering
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stochastic recurrence equations
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