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

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Author Info
Raymond Brummelhuis (Department of Economics, Mathematics & Statistics, Birkbeck)
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.

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File URL: http://www.ems.bbk.ac.uk/research/wp/PDF/BWPEF0605.pdf
File Format: application/pdf
File Function: First version, 2006
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Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0605.

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Date of creation: May 2006
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Handle: RePEc:bbk:bbkefp:0605

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  1. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July. [Downloadable!] (restricted)
  2. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July. [Downloadable!] (restricted)
  3. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November. [Downloadable!] (restricted)
  4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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