Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for \(\mathrm{GARCH}(1,1)\) (Q2904885)
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scientific article; zbMATH DE number 6071121
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| English | Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for \(\mathrm{GARCH}(1,1)\) |
scientific article; zbMATH DE number 6071121 |
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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0.8086713552474976
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0.8069122433662415
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0.767160177230835
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0.7662968635559082
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