Tail behavior of a threshold autoregressive stochastic volatility model

DOI10.1007/s10687-004-3482-yzbMath1090.62115OpenAlexW2000279050WikidataQ59245385 ScholiaQ59245385MaRDI QIDQ2488465

Aliou Diop, Dominique Guégan

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

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

Related Items (2)

Extremes of autoregressive threshold processes ⋮ On filtering and estimation of a threshold stochastic volatility model

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