Tail dependence of random variables from ARCH and heavy-tailed bilinear models

zbMath1098.62549MaRDI QIDQ2503797

Jiazhu Pan

Publication date: 22 September 2006

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

zbMATH Keywords

tail probability

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)

Related Items (3)

Density deconvolution with associated stationary data. ⋮ Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations ⋮ Unnamed Item

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