Volatility model selection for extremes of financial time series

DOI10.1016/J.JSPI.2012.08.009MaRDI QIDQ1926388zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

coefficient of tail dependenceconditional tail probabilityextremal dependenceGARCHstochastic volatility

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(7)

• Deciding between GARCH and stochastic volatility via strong decision rules
• A data-dependent approach to modeling volatility in financial time series
• A stochastic volatility model with flexible extremal dependence structure
• scientific article; zbMATH DE number 1046833 (Why is no real title available?)
• Stochastic volatility models for ordinal-valued time series with application to finance
• Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
• scientific article; zbMATH DE number 5022019 (Why is no real title available?)

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