Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
type: Item
instance of: scholarly article
title: Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
zbMATH Open document ID: 1499.62022
author: Fabrizio Laurini
author: Paul Fearnhead
author: Jonathan A. Tawn
published in: Statistics and Computing
publication date: 2022-12-09T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 7630680
zbMATH Keywords: cluster of extremes
zbMATH Keywords: extremal index
zbMATH Keywords: fixed point distributions
zbMATH Keywords: GARCH process
zbMATH Keywords: multivariate regular variation
zbMATH Keywords: particle filtering
zbMATH Keywords: stochastic recurrence equations
MaRDI profile type: Publication
full work available at URL: s11222-022-10164-5
OpenAlex ID: W4308042372
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DOI: 10.1007/S11222-022-10164-5
description: scientific article; zbMATH DE number 7630680