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  5. How does innovation's tail risk determine marginal tail risk of a stationary financial time seri

How does innovation's tail risk determine marginal tail risk of a stationary financial time seri

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：shenkui1945
【摘 要】
：
We discuss the relationship between the marginal tail risk probability and the innovation'stail risk probability for some stationary financial time series m
【作 者】
：
PAN Jiazhu YU Bosco W.T. PANG 
【机 构】
：
LMAMandDepartmentofFinancialMathematics
【出 处】
：
中国科学：数学英文版
【发表日期】
：
2004年3期
【关键词】
：
risk analysis INFINITE weighted sum moving average BILINEAR model stochastic 
【基金项目】
：
This work was supported by the National Natural Science Foundation of China (Grant No.10071003).
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We discuss the relationship between the marginal tail risk probability and the innovation'stail risk probability for some stationary financial time series models.We first give the main results on the tail behavior of a class of infinite weighted sums
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