Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984): Difference between revisions

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Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
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    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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