Dependence Structure of Stable R-garch Processes
نویسندگان
چکیده
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 codiierence-which extend the behavior of the covariance function to situations where the covariance function is no longer deened. In the case of R-GARCH(1,1,0) process we determine the exact asymptotic behavior.
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تاریخ انتشار 2001