Characterization of the tail behavior of a class of BEKK processes : a stochastic recurrence equation approach
Year of publication: |
2022
|
---|---|
Authors: | Matsui, Muneya ; Pedersen, Rasmus Søndergaard |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 1469-4360, ZDB-ID 1501041-7. - Vol. 38.2022, 1, p. 1-34
|
Subject: | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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