Tail behaviour of -TARCH models

DOI10.1016/J.SPL.2010.07.020MaRDI QIDQ613157zbMATH OpenOpenAlexFDO

Authors Péter Elek, László Márkus

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)

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Cites work

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• 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

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(6)

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• Tail behavior and dependence structure in the APARCH model
• On the tvGARCH(1,1) model: existence, CLT, and tail index
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