ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
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Publication:3408523
DOI10.1017/S0266466606060397zbMath1100.62087MaRDI QIDQ3408523
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
62G32: Statistics of extreme values; tail inference
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Cites Work
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- Generalized autoregressive conditional heteroscedasticity
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- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Stationarity and the existence of moments of a family of GARCH processes.
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quadratic ARCH Models
