Joint exceedances of the ARCH process

DOI10.1239/JAP/1091543434MaRDI QIDQ4668009zbMATH OpenOpenAlexFDO

Authors M. Ivette Gomes, Dinis Pestana, Laurens De Haan

Publication date 18 April 2005

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1091543434

zbMATH Keywords

ARCH processregular variationstatistics of extremes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sample path properties (60G17) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• An extremal markovian sequence
• Asymptotic normality of extreme value estimators on \(C[0,1]\)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Extremes and related properties of random sequences and processes
• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Implicit renewal theory and tails of solutions of random equations
• 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
• Regular variation of GARCH processes.
• Subexponentiality and infinite divisibility

Cited in

(11)

• Some aspects of extreme value statistics under serial dependence
• Joint exceedances of random products
• Empirical tail copulas for functional data
• Computer-intensive rate estimation, diverging statistics and scanning
• Asymptotic normality of extreme value estimators on \(C[0,1]\)
• Markov tail chains
• Extreme dependence of multivariate catastrophic losses
• High-level dependence in time series models
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Asymptotics of random contractions
• Extremes of asymptotically spherical and elliptical random vectors

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