This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...

It has become common practice to fit Garch models to financial time series by means of pseudo-maximum likelihood. In this study we investigate the behavior of several maximum likelihood-based methods ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...