Auto-dependence structure of arch-models: tail dependence coefficients
Brummelhuis, R. (2006) Auto-dependence structure of arch-models: tail dependence coefficients. Working Paper. Birkbeck, University of London, London, UK.
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Official URL: http://www.bbk.ac.uk/ems/research/wp
Abstract
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.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 0605 |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 28 Mar 2019 07:06 |
| Last Modified: | 02 Aug 2023 17:50 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26939 |
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