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      Regular variation of GARCH processes

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      Stochastic Processes and their Applications

      Elsevier BV

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          Most cited references 19

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          Generalized autoregressive conditional heteroskedasticity

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            Random difference equations and Renewal theory for products of random matrices

             Harry Kesten (1973)
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              Products of Random Matrices

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                Author and article information

                Journal
                Stochastic Processes and their Applications
                Stochastic Processes and their Applications
                Elsevier BV
                03044149
                May 2002
                May 2002
                : 99
                : 1
                : 95-115
                Article
                10.1016/S0304-4149(01)00156-9
                © 2002

                http://www.elsevier.com/tdm/userlicense/1.0/

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