On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the tail behavior of a class of multivariate conditionally heteroskedastic processes |
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On the tail behavior of a class of multivariate conditionally heteroskedastic processes (English)
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3 August 2018
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stochastic recurrence equations
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Markov processes
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regular variation
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multivariate ARCH
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asymptotic properties
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geometric ergodicity
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