Weighted approximations of tail processes for $\beta$-mixing random variables

By H. Drees. 2001

75 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/d2472023a758a8d21593f269bd96d7173b909023

How researchers see this paper

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In Finance

1. Richard A. Davis
2. Thomas Mikosch
3. Claudia Klüppelberg
4. S. Rao
5. A. C. Davison
6. A. Lindner
7. Bojan Basrak
8. Johan Segers

In Mathematical Physics

1. Thomas Mikosch
2. Richard A. Davis
3. Gennady Samorodnitsky
4. Sidney I. Resnick

Citations in the corpus

• Extreme Value Theory for GARCH Processes (2009, methodology): “As regards the general GARCH(p;q) model, one can estimate the tail index • from observations of the GARCH process by using the tools of extreme value statistics, see Drees [ 15 ] and Resnick and St‚aric‚a [37], cf. Embrechts et al. [16], Chapter 6. The GARCH(1;1) case again ofiers a more tractable f”