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5. Tail dependence of random variables from ARCH and heavy tailed bilinear models

Tail dependence of random variables from ARCH and heavy tailed bilinear models

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：xieming15898575325

【摘 要】

：

Discussed in this paper is the dependent structure in the tails of distributions of random variables from some heavy-tailed stationary nonlinear time series. On

【作 者】

：

PAN Jiazhu(潘家柱) 

【机 构】

：

DepartmentofFinancialMathematics

【出 处】

：

中国科学：数学英文版

【发表日期】

：

2002年6期

【关键词】

：

ARCH BILINEAR model dependence TAIL probability. ARCH bilinear model dependen 

【基金项目】

：

国家自然科学基金，supported by a cooperative project from Yunnan Province

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Discussed in this paper is the dependent structure in the tails of distributions of random variables from some heavy-tailed stationary nonlinear time series. One class of models discussed is the first-order autoregressive conditional heteroscedastic (ARCH

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