Extremes of Markov Chains with Tail Switching Potential

DOI10.1046/j.1369-7412.2003.00419.xzbMath1065.62088MaRDI QIDQ4670778

Paola Bortot, Stuart G. Coles

Publication date: 22 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1046/j.1369-7412.2003.00419.x

zbMATH Keywords

Markov chains; multivariate extremes; extreme value theory; extremal index; financial series; autoregressive conditional heteroscedastic processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

Asymptotics of Markov Kernels and the Tail Chain, Markov tail chains, The extremal index for GARCH(1,1) processes, Regularly varying multivariate time series, A Latent Process Model for Temporal Extremes, Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures

Uses Software

• ismev

Cites Work

• Extremes and related properties of random sequences and processes
• An introduction to statistical modeling of extreme values
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