EconStor >
Ludwig-Maximilians-Universität München (LMU) >
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Universität München (LMU) >
Discussion papers, SFB 386, LMU München >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/31001
  
Title:Extremal behavior of finite EGARCH processes PDF Logo
Authors:Lindner, Alexander M.
Meyer, Katharina M. M.
Issue Date:2003
Series/Report no.:Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 347
Abstract:Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes exhibit the same extremal behavior as their associated iid sequences. The results are then compared to related models, such as stochastic volatility models or Log-ACD models.
Subjects:EGARCH
exponential GARCH
extreme value theory
tail behavior
Gumbel distribution
conditional variance
Gaussian tail
stochastic volatility model
Log ACD model
norming constants
Persistent Identifier of the first edition:urn:nbn:de:bvb:19-epub-1723-1
Document Type:Working Paper
Appears in Collections:Discussion papers, SFB 386, LMU München

Files in This Item:
File Description SizeFormat
483871192.PDF303.39 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/31001

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.