|
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  |
| 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
|
| |
| | |
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.
|