Pages that link to "Item:Q1822829"

The following pages link to Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes (Q1822829):

Displaying 28 items.

• On the relation between GARCH and stable processes (Q2277742) (← links)
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes (Q2340041) (← links)
• Tail estimates for stochastic fixed point equations via nonlinear renewal theory (Q2447717) (← links)
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786) (← links)
• Extremal behavior of recurrent random sequences (Q2513006) (← links)
• Usage of processes with continuous time in the study of stochastic recurrent sequences (Q2513175) (← links)
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (Q2568302) (← links)
• Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
• A DYNAMICAL APPROACH TO STOCK MARKET FLUCTUATIONS (Q2843671) (← links)
• On stochastic difference equations in insurance ruin theory (Q2902286) (← links)
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods (Q3842862) (← links)
• The limiting distribution of extremal exchange rate returns (Q3984289) (← links)
• Joint exceedances of the ARCH process (Q4668009) (← links)
• Power and thick tails: an ARCH process example with extreme value as test statistic (Q5087959) (← links)
• Markov tail chains (Q5176525) (← links)
• TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
• Extreme events of Markov chains (Q5233162) (← links)
• A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
• Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (Q5697593) (← links)
• Extreme Value Theory as a Risk Management Tool (Q5718354) (← links)
• The Dickman–Goncharov distribution (Q5853594) (← links)
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
• From rational bubbles to crashes (Q5947864) (← links)
• Asymptotic independence <i>ex machina</i>: Extreme value theory for the diagonal SRE model (Q6134628) (← links)
• Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations (Q6138256) (← links)
• Some variations on the extremal index (Q6174430) (← links)
• Statistics for heteroscedastic time series extremes (Q6178550) (← links)