Precise large deviations for dependent regularly varying sequences
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Precise large deviations for dependent regularly varying sequences. / Mikosch, Thomas; Wintenberger, Olivier.
In: Probability Theory and Related Fields, Vol. 156, No. 3-4, 08.2013, p. 851-887.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Precise large deviations for dependent regularly varying sequences
AU - Mikosch, Thomas
AU - Wintenberger, Olivier
PY - 2013/8
Y1 - 2013/8
KW - Stationary sequence
KW - Large deviation principle
KW - Regular variation
KW - Markov processes
KW - Stochastic volatility model
KW - GARCH
U2 - 10.1007/s00440-012-0445-0
DO - 10.1007/s00440-012-0445-0
M3 - Journal article
VL - 156
SP - 851
EP - 887
JO - Probability Theory and Related Fields
JF - Probability Theory and Related Fields
SN - 0178-8051
IS - 3-4
ER -
ID: 135498422