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    Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1)

    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.

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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Raymond Brummelhuis
    Date Deposited: 28 May 2013 12:08
    Last Modified: 10 Feb 2021 14:39
    URI: https://eprints.bbk.ac.uk/id/eprint/6987

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