Extreme value theory for moving average processes with light-tailed innovations

DOI10.3150/bj/1120591182zbMath1069.62041OpenAlexW2021741867MaRDI QIDQ2565927

Alexander M. Lindner, Claudia Klüppelberg

Publication date: 28 September 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1120591182

zbMATH Keywords

domain of attractionfinancial time seriesANETasymptotically normal with exponential tailsegeneralized linear modellight-tailed innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Extremes of autoregressive threshold processes ⋮ Almost sure limit theorems for the maxima of stochastic volatility models ⋮ Tail approximation for reinsurance portfolios of Gaussian-like risks ⋮ Tail behaviour of \(\beta \)-TARCH models ⋮ The distribution of the maximum of a first order moving average: the continuous case

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