Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036)
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scientific article; zbMATH DE number 5815964
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| English | Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes |
scientific article; zbMATH DE number 5815964 |
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Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (English)
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12 November 2010
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continuous-time GARCH process
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extreme value theory
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generalized Ornstein-Uhlenbeck process
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integrated generalized Ornstein-Uhlenbeck process
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mixing
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point process
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regular variation
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sample autocovariance function
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stochastic recurrence equation
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0.7964473366737366
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0.7859376072883606
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0.784650981426239
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0.7828577160835266
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