Regular variation of order 1 nonlinear AR-ARCH models
From MaRDI portal
Publication:886112
DOI10.1016/j.spa.2006.10.009zbMath1117.60039OpenAlexW2001309199MaRDI QIDQ886112
Publication date: 26 June 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.10.009
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Discrete-time Markov processes on general state spaces (60J05)
Related Items
Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models ⋮ Robustness of iterated function systems of Lipschitz maps ⋮ Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach ⋮ On nonergodicity for nonparametric autoregressive models ⋮ The tail empirical process of regularly varying functions of geometrically ergodic Markov chains ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ Sample path properties of an explosive double autoregressive model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov chains and stochastic stability
- Implicit renewal theory and tails of solutions of random equations
- Products of random affine transformations
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Random difference equations and renewal theory for products of random matrices
- Verifying irreducibility and continuity of a nonlinear time series
- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- A note on a simple Markov bilinear stochastic process
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Regular variation of GARCH processes.
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- Extremal behavior of regularly varying stochastic processes
- Functional large deviations for multivariate regularly varying random walks
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
- Polya Peaks and the Oscillation of Positive Functions
- Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
