Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
DOI10.1007/s11222-022-10164-5zbMath1499.62022OpenAlexW4308042372MaRDI QIDQ2103984
Jonathan A. Tawn, Paul Fearnhead, Fabrizio Laurini
Publication date: 9 December 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-022-10164-5
extremal indexGARCH processparticle filteringstochastic recurrence equationsmultivariate regular variationcluster of extremesfixed point distributions
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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