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

  • Raymond Brummelhuis

    (Department of Economics, Mathematics & Statistics, Birkbeck)

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    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.bbk.ac.uk/ems/research/wp/PDF/BWPEF0605.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. 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.
    2. 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.
    3. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
    4. 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.
    5. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
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