Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1)
Part of book or chapter of book
- Publisher: Springer
We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients. Since such processes can easily be of infinite variance, a substitute for the usual auto-correlation function is needed.
views in local repository
downloads in local repository
The information is available from the following content providers: