ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES

DOI10.1017/S0266466606060397zbMath1100.62087OpenAlexW1964520514MaRDI QIDQ3408523

Ji-Chun Liu

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060397

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Statistics of extreme values; tail inference (62G32)

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Cites Work

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• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
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