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Extreme Value Theory for GARCH Processes
16 references·6 citing·29 second hop
Extreme Value Theory for GARCH Processes (2009)Extreme Value Theory for GARCH ProcessesHandbook of Financial Time Series (2009)Handbook of Financial Time Se…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…Modelling Extremal Events (1997)Modelling Extremal EventsModelling of extremal events in insurance and finance (1994)Modelling of extremal events …Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…CHAPMAN AND HALL (1985)CHAPMAN AND HALLStochastic tail index model for high frequency financial data with Bayesian analysis (2018)Stochastic tail index model f…Modeling maxima with autoregressive conditional Fréchet model (2018)Modeling maxima with autoregr…Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method (2016)Portfolio Insurance: The Extr…Diagnosing the distribution of GARCH innovations (2014)Diagnosing the distribution o…Measures of serial extremal dependence and their estimation (2013)Measures of serial extremal d…Stable limits for sums of dependent infinite variance random variables (2010)Stable limits for sums of dep…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Parametric and Nonparametric Volatility Measurement (2010)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Introduction to Time Series and Forecasting (2002)Forecasting volatility of crude oil markets (2008)The Volatility of Realized Volatility (2008)Modelling Nonlinear Economic Time Series (2010)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Extreme Correlation of International Equity Markets (2001)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Empirical properties of asset returns: stylized facts and statistical issues (2001)Sex differences in human mate preferences: Evolutionary hypotheses tested in 37 cultures (1989)Origins of the modern mind: three stages in the evolution of culture and cognition (1992)Methods to account for spatial autocorrelation in the analysis of species distributional data: a review (2007)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)Statistical Modeling of Spatial Extremes (2012)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1985CHAPMAN AND HALL4,352 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process414 cited
  • 2009Handbook of Financial Time Series406 cited
  • 2009Handbook of Financial Time Series383 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2002Stationarity and the existence of moments of a family of GARCH processes357 cited
  • 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities

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301 cited

Cited by

  • 2010Stable limits for sums of dependent infinite variance random variables63 cited
  • 2013Measures of serial extremal dependence and their estimation58 cited
  • 2016Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method47 cited
  • 2014Diagnosing the distribution of GARCH innovations46 cited
  • 2018Modeling maxima with autoregressive conditional Fréchet model42 cited
  • 2018Stochastic tail index model for high frequency financial data with Bayesian analysis35 cited