Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes

DOI10.2202/1558-3708.1225zbMATH Open1081.91533OpenAlexW1974926013MaRDI QIDQ3368334FDOQ3368334

Authors: Fabrizio Laurini 

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1225

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zbMATH Keywords

Monte CarloGARCH modelsVolatilityClustersExtremal Index

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (3)

• Extreme Value Theory for GARCH Processes
• Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
• The extremal index for GARCH(1,1) processes

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