Tail behaviour of \(\beta \)-TARCH models (Q613157): Difference between revisions

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+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
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+Extremes of autoregressive threshold processes
@@ Property / cites work: Extremes of autoregressive threshold processes / rank @@
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+A light-tailed conditionally heteroscedastic model with applications to river flows
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+Q4343010
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+Normal rank
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Implicit renewal theory and tails of solutions of random equations
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+Q4839358
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+Extreme value theory for moving average processes with light-tailed innovations
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+Markov chains and stochastic stability
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+Measuring risk in complex stochastic systems
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+An Introduction to Univariate GARCH Models
@@ Property / cites work: An Introduction to Univariate GARCH Models / rank @@
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