The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
Regular variation of GARCH processes
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Convergence of Probability Measures
Billingsley, P. (1999) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316962 · Cited by 13,910
Markov Chains and Stochastic Stability
Meyn, S. P., & Tweedie, R. L. (1993) · Springer eBooks · doi:10.1007/978-1-4471-3267-7 · Cited by 5,041
Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance: Stochastic Modeling
Samorodnitsky, G., & Taqqu, M. S. (2017) · Routledge eBooks · doi:10.1201/9780203738818 · Cited by 3,802
Modelling of extremal events in insurance and finance
Embrechts, P., & Schmidli, H. (1994) · ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research · doi:10.1007/bf01440733 · Cited by 3,514
Extreme Values, Regular Variation and Point Processes
Resnick, S. I. (1987) · Springer Series in Operations Research and Financial Engineering · doi:10.1007/978-0-387-75953-1 · Cited by 3,158
Lancaster, P. (1969) · Medical Entomology and Zoology · Cited by 2,652
Modelling Financial Time Series
Taylor, S. J. (2007) · WORLD SCIENTIFIC eBooks · doi:10.1142/9789812770851 · Cited by 1,415
Doukhan, P. (1994) · Lecture Notes in Statistics · doi:10.1007/978-1-4612-2642-0 · Cited by 1,242
Stationarity and Persistence in the GARCH(1,1) Model
Nelson, D. B. (1990) · Econometric Theory · doi:10.1017/s0266466600005296 · Cited by 1,093
Cited by
Jessen, H., & Mikosch, T. (2006) · Publications de l'Institut Mathematique · doi:10.2298/pim0694171j · Cited by 236
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Metadata
- Authors
- Basrak, B., Davis, R. A., & Mikosch, T.
- Venue
- Stochastic Processes and their Applications
- Publisher
- Elsevier BV
- Published
- 2002-05
- Volume
- 99
- Issue
- 1
- Pages
- 95-115
- ISSN
- 0304-4149 (ISSN-L)
- OpenAlex
- W2077589171
- Cited by
- 358
- References
- 24
- FWCI
- 14.75
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Basrak, B., Davis, R. A., & Mikosch, T. (2002). Regular variation of GARCH processes. Stochastic Processes and their Applications. https://doi.org/10.1016/s0304-4149(01)00156-9
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
