relies on stochastic recurrence equation theory and builds on the work of Bougerol (1993) and Straumann (2005). The … in Markov chain theory, as they require very little from the distribution of the underlying process. Furthermore, they …

index'' n that quantifies the degree of endogeneity of how much past events trigger future events. We report the following … seasonality and detrending of the data and (ii) vulnerability of the analysis to day-to-day nonstationarity and regime shifts …