Abstract
In the recent literature there has been a growing interest in nonlinear time series models. Many of these models were introduced to describe the behavior of financial returns. Large changes tend to be followed by large changes and small changes by small changes (see Mandelbrot (1963)). These observations lead to models of the form X t = σ t ε t , where the conditional variance depends on past information.
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Robert, C. (2000). Extremes of alpha-ARCH Models. In: Franke, J., Stahl, G., Härdle, W. (eds) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics, vol 147. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1214-0_15
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DOI: https://doi.org/10.1007/978-1-4612-1214-0_15
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