A note on some probabilistic properties of AACD models

MaRDI QIDQ3571320zbMATH OpenFDO

Authors Min Chen, Wei Liu, Huimin Wang

Publication date 8 July 2010

zbMATH Keywords

autoregressive conditionsheavy tailsstrict stationarity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Bounds for the probability distribution function of the linear ACD process
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