Limit theory for the sample autocorrelations and extremes of a GARCH (1, 1) process

Annals of Statistics

Volumn 28, Issue 5, 2000, Pages 1427-1451

  Mikosch, Thomas ^a   Stǎricǎ, Cǎtǎlin ^b  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

^b CHALMERS UNIVERSITY OF TECHNOLOGY   (Sweden)

Author keywords

Extremal index; Extremes; Foreign exchange rates; GARCH; Pareto tail; Point processes; Sample autocorrelations; Stochastic recurrence equation

Indexed keywords

EID: 0034287159     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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