Limit theory and robust evaluation methods for the extremal properties of GARCH(p,q) processes
DOI10.1007/S11222-022-10164-5zbMATH Open1499.62022OpenAlexW4308042372MaRDI QIDQ2103984FDOQ2103984
Authors: Fabrizio Laurini, Paul Fearnhead, Jonathan A. Tawn 
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
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Cited In (6)
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- The extremal index for GARCH(1,1) processes
- Limit theory for moderate deviation from integrated GARCH processes
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
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