Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes

DOI10.2202/1558-3708.1225zbMath1081.91533OpenAlexW1974926013MaRDI QIDQ3368334

Fabrizio Laurini

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1225

zbMATH Keywords

Monte CarloGARCH modelsVolatilityClustersExtremal Index

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures

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