Elek, Péter; Márkus, László - In: Statistics & Probability Letters 80 (2010) 23-24, pp. 1758-1763
It is now common knowledge that the simple quadratic ARCH process has a regularly varying tail even when generated by a normally distributed noise, and the tail behaviour is well-understood under more general conditions as well. Much less studied is the case of [beta]-ARCH-type processes,...