Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1)
DOI10.1007/978-3-0348-0021-1_20zbMATH Open1282.60040OpenAlexW2110568311MaRDI QIDQ2904885FDOQ2904885
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
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Cites Work
- 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
- Title not available (Why is that?)
- Implicit renewal theory and tails of solutions of random equations
- Regular variation of GARCH processes.
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Serial dependence in ARCH-models as measured by tail dependence coefficients
Cited In (3)
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