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.
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.
|Keyword(s) / Subject(s):||ARCH models, serial dependence, Copulas, lower tail dependence, risk management, value-at-risk|
|School:||Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Date Deposited:||01 Feb 2011 11:36|
|Last Modified:||11 Oct 2016 12:01|
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