Title: Characterization of the tail behavior of a class of BEKK processes
Authors: Rasmus Soendergaard Pedersen - University of Copenhagen (Denmark) [presenting]
Abstract: New, mild conditions are provided for strict stationarity and ergodicity of a class of multivariate BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of the associated stationary laws. Specifically, we show that each component of the BEKK processes is regularly varying with some tail index. In general, the tail index differs along the components, which contrasts most of the existing literature on the tail behavior of multivariate GARCH processes.