Regular variation of GARCH processes.

DOI10.1016/S0304-4149(01)00156-9zbMath1060.60033WikidataQ87452809 ScholiaQ87452809MaRDI QIDQ1766073

Thomas Mikosch, Richard A. Davis, Bojan Basrak

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Markov chain point process GARCH stationary process mixing condition finance heavy tail sample autocovariance vague convergence multivariate regular variation sample autocorrelation

Mathematics Subject Classification ID

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