Joint extremal behavior of hidden and observable time series with applications to GARCH processes

Ehlert, AndreeAndreeEhlertFiebig, Ulf-RainerUlf-RainerFiebigJanssen, AnjaAnjaJanssenSchlather, MartinMartinSchlather2018-11-072018-11-072015https://resolver.sub.uni-goettingen.de/purl?gro-2/37803For a class of generalized hidden Markov models we analyze the limiting behavior of the (suitably scaled) unobservable part under an observable extreme eventJoint extremal behavior of hidden and observable time series with applications to GARCH processesjournal_article10.1007/s10687-014-0206-9000350688900007