Volatility model selection for extremes of financial time series

DOI10.1016/J.JSPI.2012.08.009zbMATH Open1254.62108OpenAlexW1996076425MaRDI QIDQ1926388FDOQ1926388

Authors: Ye Liu, Jonathan A. Tawn 

Publication date: 28 December 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.08.009

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zbMATH Keywords

extremal dependenceGARCHstochastic volatilitycoefficient of tail dependenceconditional tail probability

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) Statistical methods; risk measures (91G70)

Cited In (7)

• Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
• Stochastic volatility models for ordinal-valued time series with application to finance
• A stochastic volatility model with flexible extremal dependence structure
• Deciding between GARCH and stochastic volatility via strong decision rules
• Title not available (Why is that?)
• A data-dependent approach to modeling volatility in financial time series
• Title not available (Why is that?)

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