Serial dependence in ARCH-models as measured by tail dependence coefficients

DOI10.1007/s10687-007-0050-2zbMath1199.60182MaRDI QIDQ2271709

R. G. M. Brummelhuis

Publication date: 8 August 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0050-2

zbMATH Keywords

quantile; transition probability; lower tail dependence coefficient

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G70: Extreme value theory; extremal stochastic processes

Related Items

Tail dependence between order statistics, Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)

Uses Software

• QRM

Cites Work

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