Garch(1,1) process can have arbitrarily heavy power tails

Lithuanian Mathematical Journal

Volumn 47, Issue 2, 2007, Pages 164-175

  Klivecka A ^a   Surgailis, D ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

GARCH(1,1) process; Heavy tailed distributions; Tail index

Indexed keywords

EID: 34547521030     PISSN: 03631672     EISSN: 15738825     Source Type: Journal    
DOI: 10.1007/s10986-007-0012-z     Document Type: Article

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