Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
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Volume (Year): 11 (2007)
Issue (Month): 3 (July)
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References listed on IDEAS
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- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Tiefeng, Jiang, 1994. "Large deviations for renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 57-71, March.
- Asmussen, Søren & Henriksen, Lotte Fløe & Klüppelberg, Claudia, 1994. "Large claims approximations for risk processes in a Markovian environment," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 29-43, November.
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