scientific article; zbMATH DE number 1223592

MaRDI QIDQ4218902zbMATH OpenFDO

Authors Paul Embrechts, Gennady Samorodnitsky, Michel M. Dacorogna, Ulrich A. Müller

Publication date 20 June 1999

zbMATH Keywords

HARCH processheavy tailsMarkov chainsstochastic volatility

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(6)

• Asymptotically homogeneous iterated random functions with applications to the HARCH process
• HARCH processes are heavy tailed
• \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
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