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Serial dependence in ARCH-models as measured by tail dependence coefficients

Brummelhuis, Raymond (2008) Serial dependence in ARCH-models as measured by tail dependence coefficients. Extremes 11 (2), pp. 167-201. ISSN 1386-1999.

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Official URL: http://dx.doi.org/10.1007/s10687-007-0050-2

Abstract

Serial dependence in non-linear time series cannot always be reliably quantified using linear autocorrelation. We do a detailed study of serial dependence in an ARCH(1) process from the point of view of the lower tail dependence coefficient and certain generalisations thereof. Our results are relevant for estimating probabilities of consecutive value-at-risk violations in GARCH models.

Item Type: Article
Keyword(s) / Subject(s): ARCH models, serial dependence, Copulas, lower tail dependence, risk management, value-at-risk
School or Research Centre: Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User: Administrator
Date Deposited: 01 Feb 2011 11:36
Last Modified: 30 Aug 2013 09:27
URI: http://eprints.bbk.ac.uk/id/eprint/1924

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