Brummelhuis, Raymond (2010) Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1). In: Dalang, R. and Dozzi, M. and Russo, F. (eds.) Seminar on Stochastic Analysis, Random Fields and Applications VI. Progress in Probability 63. Berlin, Germany: Springer, pp. 327-339. ISBN 9783034800204.
|
Text
Ascona paper.pdf - Author's Accepted Manuscript Download (205kB) | Preview |
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.
Metadata
| Item Type: | Book Section |
|---|---|
| Additional Information: | Centro Stefano Franscini, Ascona, May 2008. Series ISSN: 1050-6977 “The final publication is available at link.springer.com”. |
| Keyword(s) / Subject(s): | Stochastic recursion equations, Kesten’s theorem, GARCH, infinite variance processes, generalized tail dependence coefficients |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Raymond Brummelhuis |
| Date Deposited: | 28 May 2013 12:08 |
| Last Modified: | 02 Aug 2023 17:04 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/6987 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
