Serial dependence in non-linear time series cannot always be reliably quantified using linear autocorrelation. We do a detailed study of serial dependence in an ARCH(1) process from the point of view of the lower tail dependence coefficient and certain generalisations thereof. Our results are relevant for estimating probabilities of consecutive value-at-risk violations in GARCH models
We study the sample autocovariance and autocorrelation function of the stationary AR(1) process with...
The purpose of this selective review is to present recent theoretical findings on the modelling of A...
Multivariate conditional heteroscedasticity models form an important class of nonlinear time series ...
We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and ...
We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and ...
Modeling the dependence between consecutive observations in a time series plays a crucial role in ri...
We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recur...
In analysing time series of counts, the need to test for the presence of a dependence structure rout...
A test for serial independence is proposed which is related to the BDS test but focuses on tail even...
We present several notions of high-level dependence for stochastic processes, which have appeared in...
We review the notion of linearity of time series, and show that ARCH or stochastic volatility (SV) p...
We consider statistical inference in the presence of serial dependence. The main focus is on use of ...
This paper provides a review of some recent theoretical results for time series models with GARCH er...
Discrete time series data is seen in a wide variety of disciplines including biology, medicine, psyc...
The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series ...
We study the sample autocovariance and autocorrelation function of the stationary AR(1) process with...
The purpose of this selective review is to present recent theoretical findings on the modelling of A...
Multivariate conditional heteroscedasticity models form an important class of nonlinear time series ...
We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and ...
We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and ...
Modeling the dependence between consecutive observations in a time series plays a crucial role in ri...
We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recur...
In analysing time series of counts, the need to test for the presence of a dependence structure rout...
A test for serial independence is proposed which is related to the BDS test but focuses on tail even...
We present several notions of high-level dependence for stochastic processes, which have appeared in...
We review the notion of linearity of time series, and show that ARCH or stochastic volatility (SV) p...
We consider statistical inference in the presence of serial dependence. The main focus is on use of ...
This paper provides a review of some recent theoretical results for time series models with GARCH er...
Discrete time series data is seen in a wide variety of disciplines including biology, medicine, psyc...
The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series ...
We study the sample autocovariance and autocorrelation function of the stationary AR(1) process with...
The purpose of this selective review is to present recent theoretical findings on the modelling of A...
Multivariate conditional heteroscedasticity models form an important class of nonlinear time series ...