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Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes

  • Published:1989-08 Issue:2 Volume:32 Page:213-224
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

de Haan Laurens,Resnick Sidney I.,Rootzén Holger,de Vries Casper G.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference18 articles.

1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

2. A conditionally heteroscedastic time series model for speculative prices and rates of return;Bollerslev;Rev. Econ. Statist.,1987

3. Modelling the persistence of conditional variances;Bollerslev;Econ. Rev.,1986

4. Conditional variance and the risk premium in the foreign exchange market;Domowitz;J. Internat. Economics,1985

5. Autoregressive conditional heteroscedastic models with estimates of the variance of United Kingdom inflation;Engle;Econometrica,1982

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