Tail behaviour of -TARCH models

DOI10.1016/J.SPL.2010.07.020zbMATH Open1202.62115OpenAlexW2095224803MaRDI QIDQ613157FDOQ613157

László Márkus, Péter Elek

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.020

zbMATH Keywords

extreme value theoryconditional heteroscedasticitytail behaviourARCH-type model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Cites Work

• An Introduction to Univariate GARCH Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Markov chains and stochastic stability
• Implicit renewal theory and tails of solutions of random equations
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• A light-tailed conditionally heteroscedastic model with applications to river flows
• Title not available (Why is that?)
• Extreme value theory for moving average processes with light-tailed innovations
• Extremes of autoregressive threshold processes
• Measuring risk in complex stochastic systems

Cited In (6)

• Title not available (Why is that?)
• Right tail asymptotic expansion of Tracy-Widom beta laws
• Title not available (Why is that?)
• Tail behavior and dependence structure in the APARCH model
• On the tvGARCH(1,1) model: existence, CLT, and tail index
• Tail asymptotics under beta random scaling

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