Dependence structure of stable R-GARCH processes

In this paper we investigate properties of R-GARCH processes with positive strictly stable innovations. We derive the unconditional distributions and analyze the dependence structure. This analysis is carried out by means of the measure of dependence - the codifference - which extends the behavior of the covariance function to situations where the covariance function is no longer defined. In the case of R-GARCH(1,1,0) process we determine the exact asymptotic behavior.

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Year of publication:	2001
Authors:	Nowicka-Zagrajek, Joanna ; Weron, Aleksander
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Stable distribution \| R-GARCH process \| dependence \| codifference

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Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Probability and Mathematical Statistics 21(2) (2001) 209-223 Number HSC/01/02 13 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009003625