The Tail of the Stationary Distribution of an Autoregressive Process with Arch(1) Errors
Work
Year: 2001
Type: article
Abstract: W consider the class of autoregressive processes with ARCH(1)errors given by the stochastic difference equation $$X_n = \alpha X_{n-1} + \sqrt{\beta + \lambda X_{n-1}^2}\varepsilon_n,\quad n \in \math... more
Authors Milan Borkovec, Claudia Klüppelberg
Institution Munich University of Applied Sciences
Cites: 26
Cited by: 99
Related to: 10
FWCI: 3.947
Citation percentile (by year/subfield): 98.11
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze