Regular variation of GARCH processes
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MSC
Primary: 62M10
Secondary: 62G20
60G55
62P05
60G10
60G70
Keywords
Point process
Vague convergence
Multivariate regular variation
Mixing condition
Stationary process
Heavy tail
Sample autocovariance
Sample autocorrelation
GARCH
Finance
Markov chain
Cited by (0)
- 1
This research supported by an NWO Ph.D. Grant.
- 2
This research supported in part by NSF DMS Grant No. DMS-9972015.
- 3
This research supported by the European Research Mobility Programme Network DYNSTOCH.
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