Regular variation of order 1 nonlinear AR-ARCH models
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Publication:886112
DOI10.1016/j.spa.2006.10.009zbMath1117.60039MaRDI QIDQ886112
Publication date: 26 June 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.10.009
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60G70: Extreme value theory; extremal stochastic processes
91B84: Economic time series analysis
60J05: Discrete-time Markov processes on general state spaces
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