scientific article; zbMATH DE number 1538085

zbMATH Open0960.91063MaRDI QIDQ4518948FDOQ4518948

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Publication date: 11 May 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

time seriesextremesARCHtailstationaryalpha-ARCH

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cited In (3)

• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Properties of some statistics for AR-ARCH model with application to technical analysis
• Joint exceedances of the ARCH process

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