Limit theory and robust evaluation methods for the extremal properties of GARCH(p,q) processes
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Cited in
(6)- Augmented GARCH\((p,q)\) process and its diffusion limit
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- The extremal index for GARCH(1,1) processes
- Limit theory for moderate deviation from integrated GARCH processes
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
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