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Extreme Value Theory for GARCH Processes · Study

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ChapterExtreme Value Theory for GARCH Processes

Richard Arnold Davis2009

Chapter2009

Extreme Value Theory for GARCH Processes

Richard Arnold Davis · Thomas Mikosch

64 citations·0/0 files stored·Springer eBooks

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Probability and Risk Models Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1997Modelling Extremal Events 1985CHAPMAN AND HALL 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 1986Modelling the persistence of conditional variances 1990The Asymptotic Theory of Extreme Order Statistics 1990Stationarity and Persistence in the GARCH(1,1) Model 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling

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2010Stable limits for sums of dependent infinite variance random variables 2013Measures of serial extremal dependence and their estimation 2016Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method 2014Diagnosing the distribution of GARCH innovations 2018Modeling maxima with autoregressive conditional Fréchet model 2018Stochastic tail index model for high frequency financial data with Bayesian analysis

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2009Probabilistic Properties of Stochastic Volatility Modelschapter · 13 shared references 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processeschapter · 10 shared references 2013Measures of serial extremal dependence and their estimationarticle · 8 shared references 2005Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovationsarticle · 7 shared references 2009ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORSarticle · 7 shared references 2010Stable limits for sums of dependent infinite variance random variablesarticle · 7 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations64

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/978-3-540-71297-8_8

openalex_workW60820512

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