The extremal index for GARCH(1,1) processes
DOI10.1007/S10687-012-0148-ZzbMATH Open1329.60154OpenAlexW2047345307MaRDI QIDQ907366FDOQ907366
Fabrizio Laurini, Jonathan A. Tawn
Publication date: 25 January 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-012-0148-z
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70)
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Cited In (6)
- Estimating the extremal index through local dependence
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- Threshold selection for extremal index estimation
- Extremes of Homogeneous Gaussian Random Fields
- Title not available (Why is that?)
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
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