Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) (Q2904885): Difference between revisions

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+R. G. M. Brummelhuis
@@ Property / author: R. G. M. Brummelhuis / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-0348-0021-1_20
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@@ Property / OpenAlex ID @@
+W2110568311
@@ Property / OpenAlex ID: W2110568311 / rank @@
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@@ Property / cites work @@
+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
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@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / rank @@
+Normal rank
@@ Property / cites work @@
+Serial dependence in ARCH-models as measured by tail dependence coefficients
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@@ Property / cites work @@
+The sample autocorrelations of heavy-tailed processes with applications to ARCH
+Normal rank
@@ Property / cites work @@
+Implicit renewal theory and tails of solutions of random equations
+Normal rank
@@ Property / cites work @@
+Random difference equations and renewal theory for products of random matrices
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@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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