Pages that link to "Item:Q1766073"
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The following pages link to Regular variation of GARCH processes. (Q1766073):
Displayed 50 items.
- On general periodic time-varying bilinear processes (Q429167) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- The extremogram: a correlogram for extreme events (Q605880) (← 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)
- Second order properties of distribution tails and estimation of tail exponents in random difference equations (Q626302) (← links)
- Multivariate linear recursions with Markov-dependent coefficients (Q631617) (← links)
- Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
- High-level dependence in time series models (Q650680) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- A functional limit theorem for dependent sequences with infinite variance stable limits (Q690870) (← links)
- Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions (Q716176) (← links)
- Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) (← links)
- On asymptotic theory for multivariate GARCH models (Q842922) (← 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)
- Extremal behavior of stochastic integrals driven by regularly varying Lévy processes (Q879257) (← links)
- Extremes of asymptotically spherical and elliptical random vectors (Q882854) (← links)
- Regular variation of order 1 nonlinear AR-ARCH models (Q886112) (← links)
- On the tvGARCH(1,1) model: existence, CLT, and tail index (Q946794) (← links)
- Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
- A note on the geometric ergodicity of a nonlinear AR-ARCH model (Q962021) (← links)
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
- Tail probabilities for infinite series of regularly varying random vectors (Q1002553) (← links)
- Augmented GARCH sequences: Dependence structure and asymptotics (Q1002569) (← links)
- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain (Q1003334) (← links)
- Large deviations for heavy-tailed factor models (Q1003783) (← links)
- Testing the equality of error distributions from \(k\) independent GARCH models (Q1012539) (← links)
- Regularly varying multivariate time series (Q1016605) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- Stability and the Lyapounov exponent of threshold AR-ARCH models (Q1769418) (← links)
- On Gebelein's correlation coefficient (Q1771466) (← links)
- 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)
- Serial dependence in ARCH-models as measured by tail dependence coefficients (Q2271709) (← 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)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← 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)
- Nonparametric estimation for dependent data (Q3106417) (← links)