Extremal behaviour of models with multivariate random recurrence representation
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Cites work
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- scientific article; zbMATH DE number 3452925 (Why is no real title available?)
- A characterization of multivariate regular variation.
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Extremes and related properties of random sequences and processes
- Implicit renewal theory and tails of solutions of random equations
- Iterated Random Functions
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Markov chains and stochastic stability
- Maxima and exceedances of stationary Markov chains
- On Kesten's counterexample to the Cramér-Wold device for regular variation
- On the foundations of multivariate heavy-tail analysis
- On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Random difference equations and renewal theory for products of random matrices
- Regular variation of GARCH processes.
- Renewal theory for functionals of a Markov chain with compact state space.
- Stability of perpetuities
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
Cited in
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- Regularly varying multivariate time series
- Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
- Extreme-value asymptotics for affine random walks
- Large excursions and conditioned laws for recursive sequences generated by random matrices
- Extremal behavior of recurrent random sequences
- Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
- Stochastic volatility models with possible extremal clustering
- Recurrence and Transience of Near-Critical Multivariate Growth Models: Criteria and Examples
- On convergence of kernel estimators of density with variable window width by dependent observations
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
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