On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124): Difference between revisions

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+On the Harris recurrence of iterated random Lipschitz functions and related convergence rate results
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+ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
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+The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
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+Generalized Pickands estimators for the extreme value index
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