Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)

Brummelhuis, Raymond

doi:10.1007/978-3-0348-0021-1_20

Raymond Brummelhuis⁴

Part of the book series: Progress in Probability ((PRPR,volume 63))

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Abstract

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.

Mathematics Subject Classification (2000). 41A60, 60G70, 62E20, 62P05, 62P20, 91B30, 91B84.

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School of Economics, Mathematics and Statistics Birkbeck, University of London, Malet Street, Bloomsbury, London, WC1E 7HX, UK
Raymond Brummelhuis

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Raymond Brummelhuis
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Correspondence to Raymond Brummelhuis .

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Editors and Affiliations

Fac. Sciences de Base (FSB), Institut de Mathématiques (IMA), Ecole Polytechnique Fédérale de Lausanne, Lausanne, 1015, Switzerland
Robert Dalang
Institut Élie Cartan IECN, Nancy Université, Vandoeuvre-les-Nancy CX, France
Marco Dozzi
, Unité de Mathématiques appliquées, Ecole Nationale Supérieure des Technique, Boulevard Victor 32, Paris Cedex 15, 75739, France
Francesco Russo

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Brummelhuis, R. (2011). Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1). In: Dalang, R., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications VI. Progress in Probability, vol 63. Springer, Basel. https://doi.org/10.1007/978-3-0348-0021-1_20

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DOI: https://doi.org/10.1007/978-3-0348-0021-1_20
Published: 04 February 2011
Publisher Name: Springer, Basel
Print ISBN: 978-3-0348-0020-4
Online ISBN: 978-3-0348-0021-1
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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