The sample autocorrelations of heavy-tailed processes with applications to ARCH
type: Item
instance of: scholarly article
title: The sample autocorrelations of heavy-tailed processes with applications to ARCH
zbMATH Open document ID: 0929.62092
author: Richard A. Davis
author: T. Mikosch
published in: The Annals of Statistics
publication date: 1999-11-09T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 1359574
zbMATH Keywords: point process
zbMATH Keywords: vague convergence
zbMATH Keywords: multivariate regular variation
zbMATH Keywords: stationary process
zbMATH Keywords: heavy tail
zbMATH Keywords: sample autocovariance
zbMATH Keywords: sample autocorrelation
zbMATH Keywords: finance
zbMATH Keywords: mixing condition
zbMATH Keywords: ARCH processes
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1024691368
OpenAlex ID: W2009756259
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DOI: 10.1214/AOS/1024691368
description: scientific article; zbMATH DE number 1359574