Extremes of Markov Chains with Tail Switching Potential

DOI10.1046/J.1369-7412.2003.00419.XMaRDI QIDQ4670778zbMATH OpenOpenAlexFDO

Authors Paola Bortot, Stuart Coles

Publication date 22 April 2005

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1046/j.1369-7412.2003.00419.x

zbMATH Keywords

extremal indexextreme value theorymultivariate extremesMarkov chainsfinancial seriesautoregressive conditional heteroscedastic processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on discrete state spaces (60J27)

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• scientific article; zbMATH DE number 876736

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• An introduction to statistical modeling of extreme values
• Extremes and related properties of random sequences and processes

Cited in

(9)

• Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
• A latent process model for temporal extremes
• Asymptotics of Markov kernels and the tail chain
• Regularly varying multivariate time series
• Statistics for tail processes of Markov chains
• Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
• The extremal index for GARCH(1,1) processes
• Markov tail chains
• Tail behaviour and extremes of two-state Markov-switching autoregressive models

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Uses Software

• ismev

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