Evaluating the extremal index in GARCH processes through double random walk

Fabrizio Laurini

No 175, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: GARCH processes; Regular variation; Bivariate extremes; Rejection sampling (search for similar items in EconPapers)
JEL-codes: C53 C59 (search for similar items in EconPapers)
Date: 2003-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf3:175

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