On the tail behavior of a class of multivariate conditionally heteroskedastic processes View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2018-06

AUTHORS

Rasmus Søndergaard Pedersen, Olivier Wintenberger

ABSTRACT

Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution is regularly varying. In order to account for the possibility of different tail indices of the marginals, we consider the notion of vector scaling regular variation (VSRV), closely related to non-standard regular variation. The characterization of the tail behavior of the processes is used for deriving the asymptotic properties of the sample covariance matrices. More... »

PAGES

261-284

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10687-017-0307-3

DOI

http://dx.doi.org/10.1007/s10687-017-0307-3

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1099699603


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