The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
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Publication:1872440
DOI10.1214/aoap/1015345401zbMath1010.62083OpenAlexW1974159558MaRDI QIDQ1872440
Milan Borkovec, Claudia Klüppelberg
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1015345401
regular variationMarkov processesheavy tailsTauberian theoremgeometric ergodicityautoregressive processheteroscedastic modelARCH modelrecurrent Harris chains
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Statistics of extreme values; tail inference (62G32) Discrete-time Markov processes on general state spaces (60J05)
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