Extreme Value Theory for GARCH Processes

DOI10.1007/978-3-540-71297-8_8zbMath1178.62094OpenAlexW60820512MaRDI QIDQ3646954

Thomas Mikosch, Richard A. Davis

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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