The sample autocorrelations of heavy-tailed processes with applications to arch

Annals of Statistics

Volumn 26, Issue 5, 1998, Pages 2049-2080

  Davis, Richard A ^a   Mikosch, Thomas ^b  

^a Department of Environmental and Radiological Health Sciences   (United States)

^b UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

ARCH; Finance; Heavy tail; Markov chain; Mixing condition; Multivariate regular variation; Point process; Sample autocorrelation; Sample autocovariance; Stationary process; Vague convergence

Indexed keywords

EID: 0032264526     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/aos/1024691368     Document Type: Article

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