中国科学A辑(英文版)
中國科學A輯(英文版)
중국과학A집(영문판)
SCIENCE IN CHINA
2002年
6期
749-760
,共12页
ARCH%bilinear model%dependence%tail probability
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) process introduced by Engle (1982). The other class is the simple first-order bilinear models driven by heavy-tailed innovations. We give some explicit formulas for the asymptotic values of conditional probabilities used for measuring the tail dependence between two random variables from these models. Our results have significant meanings in finance.
