How Heavy Are the Tails of a Stationary HARCH(k) Process? A Study of the Moments
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Author
Embrechts, P.
Samorodnitsky, G.
Dacorogna, M. M.
Muller, U. A.
Abstract
How Heavy Are the Tails of a Stationary HARCH(k) Process? A Study of the Moments
Date Issued
1996-09
Publisher
Cornell University Operations Research and Industrial Engineering
Keywords
Previously Published as
1172
Type
technical report