Tail behaviour of \(\beta \)-TARCH models

DOI10.1016/j.spl.2010.07.020zbMath1202.62115OpenAlexW2095224803MaRDI QIDQ613157

László Márkus, Péter Elek

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.020

zbMATH Keywords

extreme value theorytail behaviourARCH-type modelconditional heteroscedasticity

Mathematics Subject Classification ID

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

Cites Work

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• Markov chains and stochastic stability
• Implicit renewal theory and tails of solutions of random equations
• Measuring risk in complex stochastic systems
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Extreme value theory for moving average processes with light-tailed innovations
• A light-tailed conditionally heteroscedastic model with applications to river flows
• An Introduction to Univariate GARCH Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extremes of autoregressive threshold processes

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