How does innovation's tail risk determine marginal tail risk of a stationary financial time series?

zbMath1073.62093MaRDI QIDQ2386528

Jiazhu Pan, Bosco Wing-Tong Yu, Wan-Kai Pang

Publication date: 30 August 2005

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

tail probabilityrisk analysismoving averagesvague convergencebilinear modelinfinite weighted sums

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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