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

1989

Additional Metadata
Keywords	ARCH process, extreme values, stochastic difference equation with random coefficients
JEL	Mathematical and Quantitative Methods: General (jel C00)
Persistent URL	doi.org/10.1016/0304-4149(89)90076-8, hdl.handle.net/1765/12438
Journal	Stochastic Processes and Their Applications
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	de Haan, L., Resnick, S., Rootzén, H., & de Vries, C. (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

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