Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes (Q4614245)
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scientific article; zbMATH DE number 7008627
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes |
scientific article; zbMATH DE number 7008627 |
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Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes (English)
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30 January 2019
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regular variation
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bivariate \(\text{GARCH}(1,1)\)
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Kesten's theorem
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stochastic recurrence equation
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