We consider the problem of stochastic comparison of general GARCH-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and discuss their interpretations. We focus on the convex order and show that in the case of symmetric innovations it is also propagated to the cumulated sums of the GARCH process. More generally, we discuss multivariate comparison results related to the multivariate convex and supermodular order. Finally we discuss ordering with respect to the parameters in the GARCH (1,1) case
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
This thesis addresses the study of various stochastic comparisons of order statistics. The main obje...
AbstractWe show that the finite-dimensional distributions of a GARCH process are regularly varying, ...
We consider the problem of stochastic comparison of general GARCH-like processes, for different para...
We consider the problem of stochastic comparison of general GARCH-like processes, for dierent parame...
This dissertation adds some new results to the theory of stochastic orders. Chapter 1 contains defin...
Key words and phrases: multivariate random sums, multivariate stochastic orders, convex order, direc...
[[abstract]]The paper constructs a GARCH process with time-changed L?vy innovations from the economi...
We study the theory of stochastic order under the nonlinear expectations framework, including g- and...
The lifetime of complex systems with heterogeneous components is modelled by distributions depending...
Abstract. Extensions and variants are given for the well-known comparison principle for Gaussian pro...
In many economic applications involving comparisons of multivariate distributions, supermodularity o...
We consider the extreme value theory for a stationary GARCH process with iid innovations. One of the...
Main results for stochastic differential equations apply to their stationary solutions. For obvious ...
We show that the finite-dimensional distributions of a GARCH process are regularly varying, i.e., th...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
This thesis addresses the study of various stochastic comparisons of order statistics. The main obje...
AbstractWe show that the finite-dimensional distributions of a GARCH process are regularly varying, ...
We consider the problem of stochastic comparison of general GARCH-like processes, for different para...
We consider the problem of stochastic comparison of general GARCH-like processes, for dierent parame...
This dissertation adds some new results to the theory of stochastic orders. Chapter 1 contains defin...
Key words and phrases: multivariate random sums, multivariate stochastic orders, convex order, direc...
[[abstract]]The paper constructs a GARCH process with time-changed L?vy innovations from the economi...
We study the theory of stochastic order under the nonlinear expectations framework, including g- and...
The lifetime of complex systems with heterogeneous components is modelled by distributions depending...
Abstract. Extensions and variants are given for the well-known comparison principle for Gaussian pro...
In many economic applications involving comparisons of multivariate distributions, supermodularity o...
We consider the extreme value theory for a stationary GARCH process with iid innovations. One of the...
Main results for stochastic differential equations apply to their stationary solutions. For obvious ...
We show that the finite-dimensional distributions of a GARCH process are regularly varying, i.e., th...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
This thesis addresses the study of various stochastic comparisons of order statistics. The main obje...
AbstractWe show that the finite-dimensional distributions of a GARCH process are regularly varying, ...
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