Joint exceedances of the ARCH process
M. Ivette Gomes, Laurens de Haan, and Dinis Pestana
Source: J. Appl. Probab.
Volume 41, Number 3
(2004), 919-926.
Abstract
We examine the joint finite structure of extremes of the ARCH
process and find an unexpected phenomenon: when assessing
probabilities of failure during some finite time interval in the
future, the extremal index seems not to be the object to look at.
Two possible ramifications of this phenomenon are put forward.
Related Works:
Primary Subjects: 60G70
Secondary Subjects: 60G10, 60G17
Keywords: ARCH process; regular variation; statistics of extremes
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1091543434
Digital Object Identifier: doi:10.1239/jap/1091543434
Mathematical Reviews number (MathSciNet):
MR2074832
Zentralblatt MATH identifier:
02158174
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