Precise large deviations for dependent regularly varying sequences

Thomas Mikosch, Olivier Wintenberger

15 Citations (Scopus)
Original languageEnglish
JournalProbability Theory and Related Fields
Volume156
Issue number3-4
Pages (from-to)851-887
ISSN0178-8051
DOIs
Publication statusPublished - Aug 2013

Keywords

  • Stationary sequence
  • Large deviation principle
  • Regular variation
  • Markov processes
  • Stochastic volatility model
  • GARCH

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