Regular variation of GARCH processes

2002/05/01 by Bojan Basrak, Richard A. Davis, Thomas Mikosch · 11 citations
Economics, Econometrics and Finance · Decision Sciences · #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #Probability and Risk Models

paper · doi:10.1016/s0304-4149(01)00156-9

Citations

• Products of Random Matrices
• Random difference equations and Renewal theory for products of random matrices

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