TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS

TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS

Chan, Ngai Hang, Li, Deyuan, Peng, Liang, Zhang, Rongmao
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Volume:
29
Language:
english
Journal:
Econometric Theory
DOI:
10.1017/S0266466612000801
Date:
October, 2013
File:
PDF, 207 KB
english, 2013
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