Pages that link to "Item:Q3646954"
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The following pages link to Extreme Value Theory for GARCH Processes (Q3646954):
Displaying 24 items.
- Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications (Q300515) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Towards estimating extremal serial dependence via the bootstrapped extremogram (Q528029) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Weak convergence of the function-indexed integrated periodogram for infinite variance processes (Q627284) (← links)
- Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
- On the tvGARCH(1,1) model: existence, CLT, and tail index (Q946794) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- Modeling maxima with autoregressive conditional Fréchet model (Q1739592) (← links)
- Time-varying auto-regressive models for count time-series (Q2044402) (← links)
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984) (← links)
- Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process (Q2192332) (← links)
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes (Q2340041) (← links)
- The integrated periodogram of a dependent extremal event sequence (Q2347460) (← 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)
- \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (Q2471670) (← links)
- A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference (Q2637362) (← links)
- CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH (Q5065457) (← links)
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
- Extreme events of Markov chains (Q5233162) (← links)
- RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT (Q5349016) (← links)
- Bayesian time‐varying autoregressive models of COVID‐19 epidemics (Q6149268) (← links)