Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations

DOI10.1016/J.JMVA.2009.01.002zbMath1165.62336OpenAlexW2072069721MaRDI QIDQ1021853

Nelson Muriel, Begoña Fernández Fernández

Publication date: 9 June 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.01.002

zbMATH Keywords

extreme valuesautocovariance functionpoint process convergencemultivariate GARCHmultivariate regular variationstochastic recurrence equation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes (62M99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Tail indices for \(AX+B\) recursion with triangular matrices ⋮ Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes ⋮ Weak convergence of multivariate partial maxima processes ⋮ Time-varying copula models for financial time series ⋮ The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process ⋮ TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS

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