Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes

DOI10.3150/08-BEJ174zbMath1462.60040arXiv1002.4257MaRDI QIDQ605036

Vicky Fasen

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.4257

zbMATH Keywords

regular variation; point process; mixing; extreme value theory; stochastic recurrence equation; generalized Ornstein-Uhlenbeck process; continuous-time GARCH process; integrated generalized Ornstein-Uhlenbeck process; sample autocovariance function

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

60G10: Stationary stochastic processes

60G70: Extreme value theory; extremal stochastic processes

Related Items

Asymmetric COGARCH processes, Method of moment estimation in the COGARCH(1,1) model, High-level dependence in time series models

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