Extremal behavior of the autoregressive process with ARCH(1) errors
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Cites work
- ARCH modeling in finance. A review of the theory and empirical evidence
- ARMA MODELS WITH ARCH ERRORS
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- Computing the extremal index of special Markov chains and queues
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Extremal behaviour of stationary Markov chains with applications
- Extreme values for stationary and Markov sequences
- Extremes and related properties of random sequences and processes
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 4013703 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3500818 (Why is no real title available?)
- scientific article; zbMATH DE number 837692 (Why is no real title available?)
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- Maxima and exceedances of stationary Markov chains
- Modelling extremal events for insurance and finance
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Random difference equations and renewal theory for products of random matrices
Cited in
(23)- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Tail estimates for stochastic fixed point equations via nonlinear renewal theory
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- scientific article; zbMATH DE number 6607889 (Why is no real title available?)
- Extremal index of a resampled process of autoregression
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
- Local Estimation in AR Models with Nonparametric ARCH Errors
- Clustering of Markov chain exceedances
- Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
- Joint exceedances of the ARCH process
- Tail index of an AR(1) model with ARCH(1) errors
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- Sample path properties of an explosive double autoregressive model
- The distribution of the maximum of a first order autoregressive process: The continuous case
- High-level dependence in time series models
- Extreme Quantile Estimation for Autoregressive Models
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Extremal behaviour of models with multivariate random recurrence representation
- Regular variation of order 1 nonlinear AR-ARCH models
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