Publication:4407617
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zbMath1026.62113MaRDI QIDQ4407617
Thomas Mikosch, Cătălin Stărică
Publication date: 15 December 2003
mixing; ARCH; GARCH; long-range dependence; IGARCH; sample autocorrelation function; persistence in variance
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G10: Stationary stochastic processes
60G70: Extreme value theory; extremal stochastic processes
60J05: Discrete-time Markov processes on general state spaces
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Uses Software
