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Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes

We consider limit distributions of extremes of a process {Yn} satisfying the stochastic difference equation Yn-AnYn-1+Bn, n[greater-or-equal, slanted]1,Y0[greater-or-equal, slanted]0, where {An, Bn} are i.i.d. 2+-valued random pairs, A special case of interest is when {Yn} is derived from a first order ARCH process. Parameters of the limit law are exhibited; some are hard to calculate explicitly but easy to simulate.
Year of publication:
1989
Authors: de Haan, Laurens ; Resnick, Sidney I. ; Rootzén, Holger ; Vries, Casper G. de
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 32.1989, 2, p. 213-224
Publisher: Elsevier
Keywords: extreme values ARCH process stochastic difference equation with random coefficients
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008875046
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