Items where Author is "Laurini, Fabrizio"

Journal Article

Laurini, Fabrizio and Fearnhead, Paul and Tawn, Jonathan (2022) Limit theory and robust evaluation methods for the extremal properties of GARCH(p, q) processes. Statistics and Computing, 32 (6). ISSN 0960-3174

Laurini, Fabrizio and Fearnhead, Paul and Tawn, Jonathan A. (2019) Evaluation of extremal properties of GARCH(p,q) processes. arxiv.org.

Laurini, Fabrizio and Tawn, Jonathan Angus (2012) The extremal index for GARCH(1,1) processes. Extremes, 15 (4). pp. 511-529. ISSN 1386-1999

Laurini, Fabrizio and Tawn, Jonathan A. (2009) Regular variation and extremal dependence of GARCH residuals with application to market risk measures. Econometric Reviews, 28 (1-3). pp. 146-169. ISSN 0747-4938