Joint extremal behavior of hidden and observable time series with applications to GARCH processes

DOI10.1007/s10687-014-0206-9zbMath1318.60057arXiv1107.0493OpenAlexW1969641729MaRDI QIDQ2340041

Martin Schlather, Andree Ehlert, Ulf-Rainer Fiebig, Anja Janssen

Publication date: 15 April 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0493

zbMATH Keywords

time seriesextremal indexmultivariate regular variationtail chainGARCH processesjoint extremal behaviorMonte Carlo evaluations

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Financial applications of other theories (91G80)

Related Items

Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds, Cluster based inference for extremes of time series, Joint extremal behavior of hidden and observable time series with applications to GARCH processes, Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes

Uses Software

• Rugarch

Cites Work

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