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- Title:
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes.
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Fasen, V.
- Keywords:
- continuous time GARCH process, extreme value theory, generalized Ornstein- Uhlenbeck process, integrated generalized Ornstein-Uhlenbeck process, mixing, point process, regular variation, sample autocovariance function, stochastic recurrence equation
- Journal title:
- Bernoulli
- Year:
- 2010
- Journal volume:
- 16
- Journal issue:
- 1
- Pages contribution:
- 51-79
- Reviewed:
- ja
- Language:
- en
- WWW:
- https://projecteuclid.org/euclid.bj/1265984704
- Status:
- Verlagsversion / published
- Semester:
- SS 10
- Format:
- Text
BibTeX