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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Revision as of 09:00, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) |
scientific article |
Statements
Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) (English)
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24 August 2012
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stochastic recursion equations
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Kesten's theorem
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\(\mathrm{GARCH}\)
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infinite variance processes
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generalized tail dependence coefficients
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