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Joint exceedances of the ARCH process
Part of
- Stochastic processes
M. Ivette Gomes, Laurens de Haan, Dinis Pestana
Journal:

Journal of Applied Probability / Volume 41 / Issue 3 / September 2004

Published online by Cambridge University Press:

14 July 2016, pp. 919-926

Print publication:

September 2004
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We examine the joint finite structure of extremes of the ARCH process and find an unexpected phenomenon: when assessing probabilities of failure during some finite time interval in the future, the extremal index seems not to be the object to look at. Two possible ramifications of this phenomenon are put forward.

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Joint exceedances of the ARCH process