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- W2387887207 abstract "In this thesis,We study the tail of the stationary distribution of an ARCH(1) model,In the article of Engle(1982),He defined the ARCH(1) model and supposed(en)n∈N are i.i.d normal random variables,but in our thesis,we define a stochastic equation,and consider the(en)n∈N are i.i.d symmetric random variables.As to above model,we introduce the required assumptions on the(en) n∈Nand distinguish between the so-called general conditions and the technical conditions.the following,we proved that(en)n∈N has a unique stationary distribution and the stationary distribution is continuous and symmetric." @default.
- W2387887207 created "2016-06-24" @default.
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- W2387887207 date "2008-01-01" @default.
- W2387887207 modified "2023-09-24" @default.
- W2387887207 title "Existence and Uniqueness of the Tail of the ARCH(1) Stationary Distribution" @default.
- W2387887207 hasPublicationYear "2008" @default.
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