Tail behaviour of \(\beta \)-TARCH models (Q613157)
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scientific article; zbMATH DE number 5828031
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| English | Tail behaviour of \(\beta \)-TARCH models |
scientific article; zbMATH DE number 5828031 |
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Tail behaviour of \(\beta \)-TARCH models (English)
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20 December 2010
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ARCH-type model
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conditional heteroscedasticity
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extreme value theory
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tail behaviour
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0.7689321637153625
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0.7631193995475769
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0.7617288827896118
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