Tail behaviour of \(\beta \)-TARCH models
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Publication:613157
DOI10.1016/j.spl.2010.07.020zbMath1202.62115OpenAlexW2095224803MaRDI QIDQ613157
Publication date: 20 December 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.020
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
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