On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124)
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scientific article
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| English | On the tail behavior of a class of multivariate conditionally heteroskedastic processes |
scientific article |
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On the tail behavior of a class of multivariate conditionally heteroskedastic processes (English)
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3 August 2018
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stochastic recurrence equations
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Markov processes
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regular variation
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multivariate ARCH
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asymptotic properties
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geometric ergodicity
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0.8538353443145752
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0.8113933205604553
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0.7918861508369446
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0.7832868099212646
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0.7824747562408447
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