Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
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| 001 | 378929747 | ||
| 003 | CHVBK | ||
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| 007 | cr unu---uuuuu | ||
| 008 | 161128e20040518xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.2202/1558-3708.1225 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1225 | ||
| 100 | 1 | |a Laurini |D Fabrizio |u 1University of Parma, flaurini@stat.unipd.it | |
| 245 | 1 | 0 | |a Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes |h [Elektronische Daten] |c [Fabrizio Laurini] |
| 520 | 3 | |a Several methods have been proposed for identifying clusters of extreme values leading to estimators of the extremal index; the latter represents,in the limit, the mean-size of each cluster of thresholds exceedances. The detection of clusters of extremes is relevant for the class of processes commonly used in financial econometrics, such as GARCH processes. The paper illustrates a novel approach to the above identification that exploits additional knowledge of the trajectory of the process around extreme events, and compares it to traditional approaches, using simulation from a GARCH process. We assess the relative performance of estimators in terms of bias, mean square error and distributional properties. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/2(2004-05-18) |q 8:2 |1 2004 |2 8 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1225 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1225 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Laurini |D Fabrizio |u 1University of Parma, flaurini@stat.unipd.it | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/2(2004-05-18) |q 8:2 |1 2004 |2 8 |o snde | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||