Extremal behavior of solutions to a stochastic difference equation, with applications to ARCH processes

• Haan, L.F.M. de
• Resnick, S.
• Rootzen, H.
• Vries, C.G. de

January 1989
Article

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• extreme values
• ARCH process
• stochastic difference equation with random coefficients

• C00 : Mathematical and Quantitative Methods: General

• process
• value
• extremal
• probability
• index
• arch process
• distribution
• theorem
• extremal index
• table
• rootzen
• limit
• equation
• point
• exceedance
• solution
• simulation
• poisson
• i.i.d
• engle