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Keywords ARCH process, extreme values, stochastic difference equation with random coefficients
JEL Mathematical and Quantitative Methods: General (jel C00)
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Journal Stochastic Processes and Their Applications
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