Regular variation of order 1 nonlinear AR-ARCH models

DOI10.1016/j.spa.2006.10.009zbMath1117.60039OpenAlexW2001309199MaRDI QIDQ886112

Daren B. H. Cline

Publication date: 26 June 2007

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.10.009

zbMATH Keywords

regular variationergodicityARCHstationary distributionstochastic recursion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Discrete-time Markov processes on general state spaces (60J05)

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