Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes
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Publication:4614245
DOI10.4064/cm7313A-5-2018zbMath1408.60040arXiv1706.05800OpenAlexW2963052489MaRDI QIDQ4614245
Witold Świątkowski, Muneya Matsui, Ewa Damek
Publication date: 30 January 2019
Published in: Colloquium Mathematicum (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.05800
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Random operators and equations (aspects of stochastic analysis) (60H25)
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