Joint extremal behavior of hidden and observable time series with applications to GARCH processes
DOI10.1007/s10687-014-0206-9zbMath1318.60057arXiv1107.0493MaRDI QIDQ2340041
Martin Schlather, Andree Ehlert, Ulf-Rainer Fiebig, Anja Janssen
Publication date: 15 April 2015
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.0493
time series; extremal index; multivariate regular variation; tail chain; GARCH processes; joint extremal behavior; Monte Carlo evaluations
60J22: Computational methods in Markov chains
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G60: Numerical methods (including Monte Carlo methods)
60G70: Extreme value theory; extremal stochastic processes
65C05: Monte Carlo methods
60J05: Discrete-time Markov processes on general state spaces
91G80: Financial applications of other theories
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