A large deviations approach to limit theory for heavy-tailed time series - Mikosch, Thomas; Wintenberger, Olivier (Probability theory and related fields, 2016)
Keywords: Autoregressive models; Autoregressive processes; Central limit theorem; Deviation; Economics; Finance; Functionals; Insurance; Management; Mathematical analysis; Mathematical and Computational Biology; Mathematical and Computational Physics; Mathematical models; Mathematics; Mathematics and Statistics; Multivariate analysis; Operations Research/Decision Theory; Probability; Probability Theory and Stochastic Processes; Quantitative Finance; Random walk; Statistics; Statistics for Business; Stochastic models; Stochasticity; Studies; Theoretical; Time series; Volatility; Large deviation principle; Central limit theorem; Ruin probabilities; 60G70; Secondary 60F05; GARCH; Regularly varying processes; Primary 60F10