HARCH processes are heavy tailed

DOI10.1023/A:1009972311258zbMATH Open0947.60049OpenAlexW2106447440MaRDI QIDQ1979093FDOQ1979093

Authors: Paul Embrechts, Rudolf Grübel 

Publication date: 24 May 2000

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009972311258

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zbMATH Keywords

nonlinear time seriesheavy tailed distributionrandom recursion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

Cited In (2)

• A Conversation With Paul Embrechts
• Title not available (Why is that?)

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