On the tail behavior of a class of multivariate conditionally heteroskedastic processes

DOI10.1007/S10687-017-0307-3zbMATH Open1396.60061arXiv1701.05091OpenAlexW2581948886MaRDI QIDQ726124FDOQ726124

Authors: Rasmus Søndergaard Pedersen, Olivier Wintenberger 

Publication date: 3 August 2018

Published in: Extremes (Search for Journal in Brave)

Abstract: Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution is regularly varying. In order to account for the possibility of different tail indices of the marginals, we consider the notion of vector scaling regular variation, in the spirit of Perfekt (1997, Advances in Applied Probability, 29, pp. 138-164). The characterization of the tail behavior of the processes is used for deriving the asymptotic properties of the sample covariance matrices.

Full work available at URL: https://arxiv.org/abs/1701.05091

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zbMATH Keywords

asymptotic propertiesregular variationMarkov processesgeometric ergodicitystochastic recurrence equationsmultivariate ARCH

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Stochastic difference equations (39A50) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited In (6)

• Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
• Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
• Tails of bivariate stochastic recurrence equation with triangular matrices
• Tail indices for \(AX+B\) recursion with triangular matrices
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations

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