The tail of the stationary distribution of an autoregressive process with ARCH(1) errors

Annals of Applied Probability

Volumn 11, Issue 4, 2001, Pages 1220-1241

  Borkovec, Milan ^b   Klüppelberg, Claudia ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b NONE

Author keywords

ARCH model; Autoregressive process; Geometric ergodicity; Heavy tail; Heteroscedastic model; Markov process; Recurrent Harris chain; Regular variation; Tauberian theorem

Indexed keywords

EID: 0035564935     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015345401     Document Type: Article

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