Multiperiod Conditional Distribution Functions for Conditionally Normal Garch(1, 1) Models
نویسنده
چکیده
We study the asymptotic tail behavior of the conditional probability distributions of rt+k and rt+1 + · · · + rt+k when (rt )t∈N is a GARCH(1, 1) process. As an application, we examine the relation between the extreme lower quantiles of these random variables.
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تاریخ انتشار 2005