On the tail behavior of a class of multivariate conditionally heteroskedastic processes
Research output: Contribution to journal › Journal article › Research › peer-review
Original language | English |
---|---|
Journal | Extremes |
Volume | 21 |
Issue number | 2 |
Pages (from-to) | 261-284 |
ISSN | 1386-1999 |
DOIs | |
Publication status | Published - Jun 2018 |
- Stochastic recurrence equations, Markov processes, Regular variation, Multivariate ARCH, Asymptotic properties, Geometric ergodicity
Research areas
Links
- https://arxiv.org/pdf/1701.05091.pdf
Submitted manuscript
ID: 202192599