Precise large deviations for dependent regularly varying sequences

DOI10.1007/s00440-012-0445-0zbMath1276.60029arXiv1206.1395OpenAlexW1991847796MaRDI QIDQ365720

Thomas Mikosch, Olivier Wintenberger

Publication date: 9 September 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.1395

zbMATH Keywords

regular variationMarkov processeslarge deviation principleGARCHstationary sequencestochastic volatility model

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10)

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