ARCH process, extreme values, stochastic difference equation with random coefficients
Mathematical and Quantitative Methods: General (jel C00)
dx.doi.org/10.1016/0304-4149(89)90076-8, hdl.handle.net/1765/12438
Stochastic Processes and Their Applications
Erasmus School of Economics

de Haan, L.F.M, Resnick, S.I, Rootzén, 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