Pages that link to "Item:Q1766073"
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The following pages link to Regular variation of GARCH processes. (Q1766073):
Displayed 50 items.
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. (Q1879899) (← links)
- Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
- Tail dependence for regularly varying time series (Q1954603) (← links)
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes (Q1955845) (← links)
- Stable limits for Markov chains via the principle of conditioning (Q1986005) (← links)
- Spectral tail processes and max-stable approximations of multivariate regularly varying time series (Q2000137) (← links)
- A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (Q2036955) (← links)
- Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise (Q2059684) (← links)
- Tails of bivariate stochastic recurrence equation with triangular matrices (Q2145773) (← links)
- An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
- Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
- Functional weak limit theorem for a local empirical process of non-stationary time series and its application (Q2174984) (← links)
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds (Q2198603) (← links)
- Change point detection for nonparametric regression under strongly mixing process (Q2208376) (← links)
- Cluster based inference for extremes of time series (Q2239252) (← links)
- Diversification benefits in the cryptocurrency market under mild explosivity (Q2239881) (← links)
- Homogeneous mappings of regularly varying vectors (Q2240484) (← links)
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains (Q2249585) (← links)
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors (Q2256754) (← links)
- Serial dependence in ARCH-models as measured by tail dependence coefficients (Q2271709) (← links)
- Topological crackle of heavy-tailed moving average processes (Q2280019) (← links)
- Bivariate regular variation among randomly weighted sums in general insurance (Q2323677) (← links)
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes (Q2340041) (← links)
- A multivariate functional limit theorem in weak \(M_1\) topology (Q2346974) (← links)
- Testing equality of spectral densities using randomization techniques (Q2348723) (← links)
- Stochastic volatility models with possible extremal clustering (Q2435218) (← links)
- The convex hull of consecutive pairs of observations from some time series models (Q2443887) (← links)
- Measures of serial extremal dependence and their estimation (Q2447645) (← links)
- A Fourier analysis of extreme events (Q2448713) (← links)
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time (Q2453866) (← links)
- Copulas: Tales and facts (with discussion) (Q2463697) (← links)
- \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (Q2471670) (← links)
- Extreme value theory for space-time processes with heavy-tailed distributions (Q2476290) (← links)
- On the existence of some ARCH\((\infty)\)processes (Q2483465) (← links)
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
- Functional large deviations for multivariate regularly varying random walks (Q2496504) (← links)
- On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786) (← links)
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
- Statistical inference for time-varying ARCH processes (Q2500447) (← links)
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
- Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
- Toward a Copula Theory for Multivariate Regular Variation (Q2849531) (← links)
- Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871) (← links)
- Risk Measures and Multivariate Extensions of Breiman's Theorem (Q2897148) (← links)
- Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) (Q2904885) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- Nonparametric estimation for dependent data (Q3106417) (← links)