Joint exceedances of the ARCH process-Reference-Cited by-同舟云学术

Joint exceedances of the ARCH process

Published:2004-09 Issue:3 Volume:41 Page:919-926
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Gomes M. Ivette,de Haan Laurens,Pestana Dinis

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.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference14 articles.

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