Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
No abstract is available for this item.
Volume (Year): 11 (2007)
Issue (Month): 3 (July)
|Contact details of provider:|| Web page: http://www.springerlink.com/content/101164/|
|Order Information:||Web: http://link.springer.de/orders.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Tiefeng, Jiang, 1994. "Large deviations for renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 57-71, March.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:299-322. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.