Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
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References listed on IDEAS
- Bruss, F. T. & Rogers, L. C. G., 1991. "Pascal processes and their characterization," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 331-338, April.
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Keywordsextreme values ARCH process stochastic difference equation with random coefficients;
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