Regular variation of GARCH processes

Stochastic Processes and their Applications

Volumn 99, Issue 1, 2002, Pages 95-115

  Basrak, Bojan ^a   Davis, Richard A ^b   Mikosch, Thomas ^c  

^a EURANDOM   (Netherlands)

^b Department of Environmental and Radiological Health Sciences   (United States)

^c UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Finance; GARCH; Heavy tail; Markov chain; Mixing condition; Multivariate regular variation; Point process; Sample autocorrelation; Sample autocovariance; Stationary process; Vague convergence

Indexed keywords

EID: 0036201819     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(01)00156-9     Document Type: Article

References (31)

1. n in the critical case
2. A characterization of multivariate regular variation
3. Regular Variation
4. Generalized autoregressive conditional heteroskedasticity
5. Strict stationarity of generalized autoregressive processes
6. Stationarity of GARCH processes and of some nonnegative time series
7. Ergodicité, mélange et estimation dans le modelès GARCH
8. n with stationary coefficients
9. On some limit theorems similar to the arc-sin law
10. The sample autocorrelations of heavy-tailed processes with applications to ARCH
11. Mixing, Properties and Examples
12. Modelling Extremal Events for Insurance and Finance
13. Arch Selected Readings
14. Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments
15. Products of random matrices
16. Implicit renewal theory and tails of solutions of random equations
17. Lyapunov exponents and asymptotic behaviour of the product of random matrices
18. On the observation closest to the origin
19. Random difference equations and renewal theory for products of random matrices
20. Subadditive ergodic theory
21. Extremal theory for stochastic processes
22. Markov Chains and Stochastic Stability
23. Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process
24. Stationarity and persistence in the GARCH(1, 1) model
25. On interchanging limits and integrals
26. Point processes, regular variation and weak convergence
27. Extreme Values, Regular Variation, and Point Processes
28. Stable non-Gaussian random processes
29. Modelling Financial Time Series
30. On a stochastic differential equation and a representation of a non-negative infinitely divisible random variables