Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
DOI10.1007/s11222-022-10164-5zbMath1499.62022MaRDI QIDQ2103984
Jonathan A. Tawn, Paul Fearnhead, Fabrizio Laurini
Publication date: 9 December 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-022-10164-5
extremal index; GARCH process; particle filtering; stochastic recurrence equations; multivariate regular variation; cluster of extremes; fixed point distributions
62-08: Computational methods for problems pertaining to statistics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
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