Asymptotic behaviour of the sample autocovariance and autocorrelation function of the AR(1) process with ARCH(1) errors

Bernoulli

Volumn 7, Issue 6, 2001, Pages 847-872

  Borkovec, Milan ^a  

^a ITG Inc   (United States)

Author keywords

ARCH model; Autoregressive process; Extremal index; Geometric ergodicity; Heavy tails; Multivariate regular variation; Point processes; Sample autocovariance function; Strong mixing

Indexed keywords

EID: 1042274763     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.2307/3318623     Document Type: Article

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