Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
DOI10.1111/JTSA.12637OpenAlexW3027699176MaRDI QIDQ6134628FDOQ6134628
Authors: Sebastian Mentemeier, Olivier Wintenberger 
Publication date: 22 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12637
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stochastic recurrence equationsmultivariate regular variationmultivariate ARCHnon-standard regular variation
Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Inference from stochastic processes (62Mxx)
Cites Work
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- Random difference equations and renewal theory for products of random matrices
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Heavy-Tail Phenomena
- Implicit renewal theory and tails of solutions of random equations
- Regularly varying multivariate time series
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- Regular variation in the tail behaviour of solutions of random difference equations
- Extreme Value Theory for a Class of Markov Chains with Values in ℝd
- Tail-homogeneity of stationary measures for some multidimensional stochastic recursions
- Limit theory for multivariate sample extremes
- Stability of perpetuities
- Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
- Markov tail chains
- Stochastic Models with Power-Law Tails
- On the Distribution of the Quotient of Two Chance Variables
- On the tail behavior of a class of multivariate conditionally heteroskedastic processes
- Pointwise estimates for first passage times of perpetuity sequences
- CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH
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