In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary and strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...

The well-known ARCH/GARCH models for financial time series have been criticized of late for their poor performance in volatility prediction, that is, prediction of squared returns. Focusing on three representative data series, namely a foreign exchange series (Yen vs. Dollar), a stock index...