Pages that link to "Item:Q1766073"

The following pages link to Regular variation of GARCH processes. (Q1766073):

Displaying 50 items.

• Regularly varying multivariate time series (Q1016605) (← links)
• Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
• Some properties of stochastic volatility model that are induced by its volatility sequence (Q1731258) (← links)
• Regular variation of a random length sequence of random variables and application to risk assessment (Q1744175) (← links)
• Stability and the Lyapounov exponent of threshold AR-ARCH models (Q1769418) (← links)
• On Gebelein's correlation coefficient (Q1771466) (← links)
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. (Q1848834) (← links)
• The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. (Q1879899) (← links)
• Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
• Tail dependence for regularly varying time series (Q1954603) (← links)
• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes (Q1955845) (← links)
• HARCH processes are heavy tailed (Q1979093) (← links)
• Stable limits for Markov chains via the principle of conditioning (Q1986005) (← links)
• Spectral tail processes and max-stable approximations of multivariate regularly varying time series (Q2000137) (← links)
• A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (Q2036955) (← links)
• Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise (Q2059684) (← links)
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984) (← links)
• Tails of bivariate stochastic recurrence equation with triangular matrices (Q2145773) (← links)
• An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
• Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
• Functional weak limit theorem for a local empirical process of non-stationary time series and its application (Q2174984) (← links)
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds (Q2198603) (← links)
• Change point detection for nonparametric regression under strongly mixing process (Q2208376) (← links)
• Cluster based inference for extremes of time series (Q2239252) (← links)
• Diversification benefits in the cryptocurrency market under mild explosivity (Q2239881) (← links)
• Homogeneous mappings of regularly varying vectors (Q2240484) (← links)
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains (Q2249585) (← links)
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors (Q2256754) (← links)
• Serial dependence in ARCH-models as measured by tail dependence coefficients (Q2271709) (← links)
• Topological crackle of heavy-tailed moving average processes (Q2280019) (← links)
• Bivariate regular variation among randomly weighted sums in general insurance (Q2323677) (← links)
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes (Q2340041) (← links)
• A multivariate functional limit theorem in weak \(M_1\) topology (Q2346974) (← links)
• Testing equality of spectral densities using randomization techniques (Q2348723) (← links)
• Stochastic volatility models with possible extremal clustering (Q2435218) (← links)
• The convex hull of consecutive pairs of observations from some time series models (Q2443887) (← links)
• Measures of serial extremal dependence and their estimation (Q2447645) (← links)
• A Fourier analysis of extreme events (Q2448713) (← links)
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time (Q2453866) (← links)
• Copulas: Tales and facts (with discussion) (Q2463697) (← links)
• \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (Q2471670) (← links)
• Extreme value theory for space-time processes with heavy-tailed distributions (Q2476290) (← links)
• On the existence of some ARCH\((\infty)\)processes (Q2483465) (← links)
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
• Functional large deviations for multivariate regularly varying random walks (Q2496504) (← links)
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786) (← links)
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
• Statistical inference for time-varying ARCH processes (Q2500447) (← links)
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
• Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)