The extremal index for GARCH(1,1) processes

DOI10.1007/S10687-012-0148-ZzbMath1329.60154OpenAlexW2047345307MaRDI QIDQ907366

Fabrizio Laurini, Jonathan A. Tawn

Publication date: 25 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-012-0148-z

zbMATH Keywords

GARCHclustersextreme value theoryextremal indexfinancebivariate regular variation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Estimating the extremal index through local dependence ⋮ Extremes of Homogeneous Gaussian Random Fields ⋮ Joint extremal behavior of hidden and observable time series with applications to GARCH processes ⋮ Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes

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