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

  • Raymond BrummelhuisEmail author
Conference paper
Part of the Progress in Probability book series (PRPR, volume 63)


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.


Stochastic recursion equations Kesten’s theorem GARCH infinite variance processes generalized tail dependence coefficients 


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Copyright information

© Springer Basel AG 2011

Authors and Affiliations

  1. 1.School of Economics, Mathematics and Statistics BirkbeckUniversity of LondonLondonUK

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