Tail behaviour of -TARCH models
From MaRDI portal
Recommendations
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- scientific article; zbMATH DE number 4192907
- Tail behavior of a threshold autoregressive stochastic volatility model
- scientific article; zbMATH DE number 774844
- Extremes of autoregressive threshold processes
Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 774844 (Why is no real title available?)
- A light-tailed conditionally heteroscedastic model with applications to river flows
- An Introduction to Univariate GARCH Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Extreme value theory for moving average processes with light-tailed innovations
- Extremes of autoregressive threshold processes
- Implicit renewal theory and tails of solutions of random equations
- Markov chains and stochastic stability
- Measuring risk in complex stochastic systems
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
Cited in
(6)- scientific article; zbMATH DE number 5226480 (Why is no real title available?)
- Right tail asymptotic expansion of Tracy-Widom beta laws
- scientific article; zbMATH DE number 7148146 (Why is no real title available?)
- 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
This page was built for publication: Tail behaviour of \(\beta \)-TARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q613157)