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

DOI10.1007/978-3-0348-0021-1_20MaRDI QIDQ2904885zbMATH OpenOpenAlexFDO

Authors R. G. M. Brummelhuis

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_20

zbMATH Keywords

infinite variance processesKesten's theorem\(\mathrm{GARCH}\)generalized tail dependence coefficientsstochastic recursion equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10)

Recommendations

• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
• Serial dependence in ARCH-models as measured by tail dependence coefficients
• scientific article; zbMATH DE number 1775009
• Regular variation of GARCH processes.
• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients

Cites work

• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
• Implicit renewal theory and tails of solutions of random equations
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Random difference equations and renewal theory for products of random matrices
• Regular variation of GARCH processes.
• Serial dependence in ARCH-models as measured by tail dependence coefficients
• The sample autocorrelations of heavy-tailed processes with applications to ARCH

Cited in

(3)

• High-level dependence in time series models
• Serial dependence in ARCH-models as measured by tail dependence coefficients
• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes

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