Precise large deviations for dependent regularly varying sequences

Thomas Mikosch; Olivier Wintenberger

doi:10.1007/s00440-012-0445-0

Precise large deviations for dependent regularly varying sequences

Thomas Mikosch, Olivier Wintenberger

Institut for Matematiske Fag

15 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Probability Theory and Related Fields
Vol/bind	156
Udgave nummer	3-4
Sider (fra-til)	851-887
ISSN	0178-8051
DOI	https://doi.org/10.1007/s00440-012-0445-0
Status	Udgivet - aug. 2013

Adgang til dokumentet

10.1007/s00440-012-0445-0

Citationsformater

@article{395d918fe92b4f278b956979276435d2,

title = "Precise large deviations for dependent regularly varying sequences",

keywords = "Stationary sequence, Large deviation principle, Regular variation, Markov processes, Stochastic volatility model, GARCH",

author = "Thomas Mikosch and Olivier Wintenberger",

year = "2013",

month = aug,

doi = "10.1007/s00440-012-0445-0",

language = "English",

volume = "156",

pages = "851--887",

journal = "Probability Theory and Related Fields",

issn = "0178-8051",

publisher = "Springer",

number = "3-4",

}

TY - JOUR

T1 - Precise large deviations for dependent regularly varying sequences

AU - Mikosch, Thomas

AU - Wintenberger, Olivier

PY - 2013/8

Y1 - 2013/8

KW - Stationary sequence

KW - Large deviation principle

KW - Regular variation

KW - Markov processes

KW - Stochastic volatility model

KW - GARCH

U2 - 10.1007/s00440-012-0445-0

DO - 10.1007/s00440-012-0445-0

M3 - Journal article

SN - 0178-8051

VL - 156

SP - 851

EP - 887

JO - Probability Theory and Related Fields

JF - Probability Theory and Related Fields

IS - 3-4

ER -

Precise large deviations for dependent regularly varying sequences

Adgang til dokumentet

Fingeraftryk

Citationsformater