Extreme Value Theory for GARCH Processes

DOI10.1007/978-3-540-71297-8_8MaRDI QIDQ3646954zbMATH OpenOpenAlexFDO

Authors Richard A. Davis, T. Mikosch

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_8

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(34)

• Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
• Modeling maxima with autoregressive conditional Fréchet model
• Time-varying auto-regressive models for count time-series
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
• Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process
• Convergence of extreme values of Poisson point processes at small times
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes
• The integrated periodogram of a dependent extremal event sequence
• The convex hull of consecutive pairs of observations from some time series models
• Measures of serial extremal dependence and their estimation
• A Fourier analysis of extreme events
• \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications
• Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
• Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
• scientific article; zbMATH DE number 1538085 (Why is no real title available?)
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• Joint exceedances of the ARCH process
• Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
• On the measurement and treatment of extremes in time series
• The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
• Tail and nontail memory with applications to extreme value and robust statistics
• Extreme events of Markov chains
• Towards estimating extremal serial dependence via the bootstrapped extremogram
• Residual-based GARCH bootstrap and second order asymptotic refinement
• Extremal memory of stochastic volatility with an application to tail shape inference
• Bayesian time‐varying autoregressive models of COVID‐19 epidemics
• Weak convergence of the function-indexed integrated periodogram for infinite variance processes
• Finite moments testing in a general class of nonlinear time series models
• Stable limits for sums of dependent infinite variance random variables
• The extremal index for GARCH(1,1) processes
• On the tvGARCH(1,1) model: existence, CLT, and tail index
• Distributional analysis of empirical volatility in GARCH processes

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