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Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes

✍ Scribed by Laurini, Fabrizio

Book ID
121840525
Publisher
The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
Year
2004
Tongue
English
Weight
682 KB
Volume
8
Category
Article
ISSN
1081-1826

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On blocks and runs estimators of the ext
On blocks and runs estimators of the extremal index
✍ I. Weissman; S.Yu. Novak πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 301 KB

Given a sample from a stationary sequence of random variables, we study the blocks and runs estimators of the extremal index. Conditions are given for consistency and asymptotic normality of these estimators. We show that moment restrictions assumed by Hsing (Stochast. Process. Appl. 37(1), 117 139;