BIROn - Birkbeck Institutional Research Online

    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.

    [img]
    Preview
    Text
    26939.pdf - Draft Version

    Download (421kB) | Preview

    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 28 Mar 2019 07:06
    Last Modified: 11 Feb 2021 20:50
    URI: https://eprints.bbk.ac.uk/id/eprint/26939

    Statistics

    Downloads
    Activity Overview
    26Downloads
    111Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item