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.
|Date of creation:||2001|
|Date of revision:|
|Publication status:||Published in Probability and Mathematical Statistics 21(2) (2001) 209-223|
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- de Vries, C.G., 1990.
"On the relation between GARCH and stable processes,"
1990-34, Tilburg University, Center for Economic Research.
- de Vries, Casper G., 1991. "On the relation between GARCH and stable processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 313-324, June.
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