HARCH processes are heavy tailed

DOI10.1023/A:1009972311258MaRDI QIDQ1979093zbMATH OpenOpenAlexFDO

Authors Paul Embrechts, Rudolf Grübel

Publication date 24 May 2000

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009972311258

zbMATH Keywords

nonlinear time seriesheavy tailed distributionrandom recursion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

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(2)

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• A Conversation With Paul Embrechts

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