Extremes of alpha-ARCH Models

  • Christian Robert
Part of the Lecture Notes in Statistics book series (LNS, volume 147)


In the recent literature there has been a growing interest in nonlinear time series models. Many of these models were introduced to describe the behavior of financial returns. Large changes tend to be followed by large changes and small changes by small changes (see Mandelbrot (1963)). These observations lead to models of the form X t = σ t ε t , where the conditional variance depends on past information.


Stationary Distribution Stochastic Volatility Price Variation Stochastic Volatility Model Extremal Index 
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© Springer Science+Business Media New York 2000

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  • Christian Robert

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