Joint Extremal Behavior of Hidden and Observable Time Series with an Application to GARCH Processes

Andree Ehlert, Ulf-Rainer Fiebig, Anja Janßen +1

We study the behavior of a real-valued and unobservable process (Y_t) under an extreme event of a related process (X_t) that is observable. Our analysis is motivated by the well-kn…