Joint exceedances of the ARCH process

DOI10.1239/jap/1091543434zbMath1065.60054OpenAlexW2025723890MaRDI QIDQ4668009

M. Ivette Gomes, Dinis Pestana, Laurens De Haan

Publication date: 18 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1091543434

zbMATH Keywords

regular variationstatistics of extremesARCH process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17)

Related Items (9)

Extremes of asymptotically spherical and elliptical random vectors ⋮ High-level dependence in time series models ⋮ Asymptotics of random contractions ⋮ Computer-intensive rate estimation, diverging statistics and scanning ⋮ Extreme dependence of multivariate catastrophic losses ⋮ Asymptotic normality of extreme value estimators on \(C[0,1\)] ⋮ Some aspects of extreme value statistics under serial dependence ⋮ Empirical tail copulas for functional data ⋮ Markov tail chains

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• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• An extremal markovian sequence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Subexponentiality and infinite divisibility

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