Additional Metadata
Keywords ARCH process, extreme values, stochastic difference equation with random coefficients
Persistent URL dx.doi.org/10.1016/0304-4149(89)90076-8, hdl.handle.net/1765/12438
Citation
de Haan, L.F.M., Resnick, S., Rootzen, H., & de Vries, C.G.. (1989). Extremal behavior of solutions to a stochastic difference equation, with applications to ARCH processes. Stochastic Processes and Their Applications, 213–224. doi:10.1016/0304-4149(89)90076-8