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

Raymond Brummelhuis
Additional contact information
Raymond Brummelhuis: Department of Economics, Mathematics & Statistics, Birkbeck

No 605, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

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.

Date: 2006-05
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eprints.bbk.ac.uk/id/eprint/26939 First version, 2006 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbk:bbkefp:0605

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics Malet Street, London WC1E 7HX, UK.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).