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

DOI10.1016/0304-4149(89)90076-8zbMath0679.60029OpenAlexW2035995445MaRDI QIDQ1822829

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

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90076-8

zbMATH Keywords

extreme values stochastic difference equation econometric modelling ARCH process Simulation procedures

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Sample path properties (60G17) Stochastic analysis (60H99)

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