Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)
From MaRDI portal
Publication:2904885
DOI10.1007/978-3-0348-0021-1_20zbMath1282.60040MaRDI QIDQ2904885
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
infinite variance processes; Kesten's theorem; \(\mathrm{GARCH}\); generalized tail dependence coefficients; stochastic recursion equations
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
60G10: Stationary stochastic processes
60G70: Extreme value theory; extremal stochastic processes
Cites Work
- Implicit renewal theory and tails of solutions of random equations
- Random difference equations and renewal theory for products of random matrices
- Regular variation of GARCH processes.
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Serial dependence in ARCH-models as measured by tail dependence coefficients
- Unnamed Item