DEPENDENCE STRUCTURE OF STABLE R-GARCH PROCESSES
Joanna Nowicka-Zagrajek
Aleksander Weron
Abstract: 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 process we determine the exact asymptotic behavior.
1991 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -