Pages that link to "Item:Q1822829"
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The following pages link to Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes (Q1822829):
Displaying 50 items.
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index (Q111091) (← links)
- Bounds for the extremal index of stochastic recurrent sequences (Q276636) (← links)
- A large deviations approach to limit theory for heavy-tailed time series (Q328780) (← links)
- Uniform estimator of the extremal index of stochastic recurrent sequences (Q355296) (← links)
- Large deviations for solutions to stochastic recurrence equations under Kesten's condition (Q359689) (← links)
- Rare-event asymptotics for the number of exceedances of multiplicative factor models (Q497492) (← links)
- Financial power laws: empirical evidence, models, and mechanisms (Q508271) (← links)
- Fat tails, VaR and subadditivity (Q528149) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266) (← links)
- Extreme values statistics for Markov chains via the (pseudo-) regenerative method (Q626299) (← links)
- Multivariate linear recursions with Markov-dependent coefficients (Q631617) (← links)
- High-level dependence in time series models (Q650680) (← links)
- Convergence to type I distribution of the extremes of sequences defined by random difference equation (Q719372) (← links)
- On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124) (← links)
- On Kesten's counterexample to the Cramér-Wold device for regular variation (Q850734) (← links)
- Extremal behaviour of models with multivariate random recurrence representation (Q875906) (← links)
- The extremal index for GARCH(1,1) processes (Q907366) (← links)
- Global stochastic properties of dynamic models and their linear approximations (Q964551) (← links)
- Inference for the limiting cluster size distribution of extreme values (Q1002158) (← links)
- Estimating the multivariate extremal index function (Q1002535) (← links)
- Some aspects of extreme value statistics under serial dependence (Q1003318) (← links)
- Regularly varying multivariate time series (Q1016605) (← links)
- Subsampling techniques and the jackknife methodology in the estimation of the extremal index (Q1023534) (← links)
- Nearest neighbor conditional estimation for Harris recurrent Markov chains (Q1036785) (← links)
- The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting (Q1291665) (← links)
- Extremes of stochastic volatility models (Q1296598) (← links)
- Tail index estimation for dependent data (Q1296719) (← links)
- Computing the extremal index of special Markov chains and queues (Q1382480) (← links)
- Renewal theory for functionals of a Markov chain with compact state space. (Q1433900) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Fokker-Planck equation of distributions of financial returns and power laws (Q1591816) (← links)
- Extremal behavior of the autoregressive process with ARCH(1) errors (Q1613588) (← links)
- Modeling tails of aggregate economic processes in a stochastic growth model (Q1623510) (← links)
- Large excursions and conditioned laws for recursive sequences generated by random matrices (Q1660628) (← links)
- On extremal indices greater than one for a scheme of series (Q1728114) (← links)
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. (Q1848834) (← links)
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors (Q1872440) (← links)
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. (Q1879899) (← links)
- Comparing downside risk measures for heavy tailed distributions (Q1929399) (← links)
- Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices (Q1949212) (← links)
- A sliding blocks estimator for the extremal index (Q1952012) (← links)
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes (Q1955845) (← links)
- Random linear recursions with dependent coefficients (Q1957152) (← links)
- Compound Poisson approximation for regularly varying fields with application to sequence alignment (Q2040067) (← links)
- A novel approach to exponential stability in mean square of stochastic difference systems with delays (Q2086991) (← links)
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984) (← links)
- On contraction in mean square of stochastic difference systems with delays (Q2137364) (← links)
- Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution (Q2137752) (← links)
- Method of moments estimators for the extremal index of a stationary time series (Q2199704) (← links)
