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

zbMATH Keywords

time series; extremal index; multivariate regular variation; tail chain; GARCH processes; joint extremal behavior; Monte Carlo evaluations

Mathematics Subject Classification ID

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

Related Items

Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes, Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds, Cluster based inference for extremes of time series, Joint extremal behavior of hidden and observable time series with applications to GARCH processes

Uses Software

• Rugarch

Cites Work

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