We consider a stationary AR(1) process with ARCH(1) errors given by the stochastic difference equation $X_{t}=\alpha X_{t-1}+\sqrt{\beta +\lambda X_{t-1}^{2 ...
Journal of Applied Probability, Vol. 42, No. 3 (Sep., 2005), pp. 892-901 (10 pages) In this article, we consider the limit behavior of the hazard rate function of mixture distributions, assuming ...
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