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- W1995750147 abstract "We study the asymptotic tail behavior of the conditional probability distributions of r t + k and r t +1 +⋯+ r t + k when ( r t ) t ∈ℕ is a GARCH(1, 1) process. As an application, we examine the relation between the extreme lower quantiles of these random variables." @default.
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- W1995750147 date "2005-06-01" @default.
- W1995750147 modified "2023-10-16" @default.
- W1995750147 title "Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models" @default.
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- W1995750147 doi "https://doi.org/10.1239/jap/1118777180" @default.
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