Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984)
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scientific article; zbMATH DE number 7630680
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| English | Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes |
scientific article; zbMATH DE number 7630680 |
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Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (English)
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9 December 2022
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cluster of extremes
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extremal index
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fixed point distributions
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GARCH process
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multivariate regular variation
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particle filtering
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stochastic recurrence equations
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0.8362005352973938
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0.7973188161849976
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0.7873111367225647
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