The extremal index for GARCH(1,1) processes

DOI10.1007/S10687-012-0148-ZMaRDI QIDQ907366zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

clustersextremal indexextreme value theoryfinanceGARCHbivariate regular variation

Mathematics Subject Classification ID

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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• Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
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• On the distributional properties of GARCH processes

Cites work

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Cited in

(10)

• Estimating the extremal index through local dependence
• Extreme Value Theory for GARCH Processes
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes
• Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
• Threshold selection for extremal index estimation
• The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
• Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
• scientific article; zbMATH DE number 6607889 (Why is no real title available?)
• Extremes of homogeneous Gaussian random fields
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes

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