Extremes of Markov Chains with Tail Switching Potential

DOI10.1046/j.1369-7412.2003.00419.xzbMath1065.62088OpenAlexW2024727081MaRDI QIDQ4670778

Paola Bortot, Stuart G. Coles

Publication date: 22 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1046/j.1369-7412.2003.00419.x

zbMATH Keywords

Markov chainsmultivariate extremesextreme value theoryextremal indexfinancial seriesautoregressive conditional heteroscedastic processes

Mathematics Subject Classification ID

Related Items (6)

A Latent Process Model for Temporal Extremes ⋮ The extremal index for GARCH(1,1) processes ⋮ Asymptotics of Markov Kernels and the Tail Chain ⋮ Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures ⋮ Regularly varying multivariate time series ⋮ Markov tail chains

Uses Software

• ismev

Cites Work

• Unnamed Item
• Extremes and related properties of random sequences and processes
• An introduction to statistical modeling of extreme values

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