CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH

DOI10.1017/S0266466620000584zbMath1493.62615arXiv1902.08364MaRDI QIDQ5065457

Muneya Matsui, Rasmus Søndergaard Pedersen

Publication date: 21 March 2022

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.08364

Mathematics Subject Classification ID

62P20: Applications of statistics to economics