Extremal behavior of the autoregressive process with ARCH(1) errors

Stochastic Processes and their Applications

Volumn 85, Issue 2, 2000, Pages 189-207

  Borkovec, Milan ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

60G55; 60J05; ARCH model; Autoregressive process; Compound Poisson process; Coupling; Extremal behavior; Extremal index; Fr chet distribution; Heavy tail; Heteroscedastic homogeneous Markov process; Primary: 60G70; Recurrent Harris chain; Secondary: 60F05

Indexed keywords

EID: 0007376530     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00073-3     Document Type: Article

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