Tail behavior of a threshold autoregressive stochastic volatility model

DOI10.1007/S10687-004-3482-YMaRDI QIDQ2488465zbMATH OpenOpenAlexWikidataFDO

Authors Aliou Diop, Dominique Guegan

Publication date 24 May 2006

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-004-3482-y

zbMATH Keywords

asymptotic expansionheavy tailTARSV

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• Moving averages with random coefficients and random coefficient autoregressive models
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• One limit distribution for a random walk on the line
• Portfolio Analysis in a Stable Paretian Market
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Cited in

(7)

• On filtering and estimation of a threshold stochastic volatility model
• Tail behaviour of \(\beta \)-TARCH models
• The behaviour of US stock prices: Evidence from a threshold autoregressive model
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• Tail behavior and dependence structure in the APARCH model
• Bounding tail probabilities in dynamic economic models
• Extremes of autoregressive threshold processes

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