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Seminar on Stochastic Analysis, Random Fields and Applications VIAuto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)

Seminar on Stochastic Analysis, Random Fields and Applications VI: Auto-tail Dependence... [We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients. Since such processes can easily be of infinite variance, a substitute for the usual auto-correlation function is needed.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Seminar on Stochastic Analysis, Random Fields and Applications VIAuto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)

Part of the Progress in Probability Book Series (volume 63)
Editors: Dalang, Robert; Dozzi, Marco; Russo, Francesco

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References (7)

Publisher
Springer Basel
Copyright
© Springer Basel AG 2011
ISBN
978-3-0348-0020-4
Pages
327 –339
DOI
10.1007/978-3-0348-0021-1_20
Publisher site
See Chapter on Publisher Site

Abstract

[We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients. Since such processes can easily be of infinite variance, a substitute for the usual auto-correlation function is needed.]

Published: Feb 4, 2011

Keywords: Stochastic recursion equations; Kesten’s theorem; GARCH; infinite variance processes; generalized tail dependence coefficients

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