Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients
AbstractWe 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.
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Bibliographic InfoPaper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0605.
Date of creation: May 2006
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-06 (All new papers)
- NEP-ECM-2006-05-06 (Econometrics)
- NEP-ETS-2006-05-06 (Econometric Time Series)
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cond-mat/0104295, arXiv.org, revised May 2002.
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