Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients

We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and certain generalizations thereof, for both stationary and non-stationary time series. This study is inspired by financial risk-management issues, and our results are relevant for estimating probabilities of consecutive value-at-risk violations.

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Year of publication:	2006-05
Authors:	Brummelhuis, Raymond
Institutions:	Birkbeck, Department of Economics, Mathematics & Statistics

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Extent:	application/pdf
Series:	Birkbeck Working Papers in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0605
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005811528