Sparse moving maxima models for tail dependence in multivariate financial time series

DOI10.1016/j.jspi.2012.11.008zbMath1259.62083OpenAlexW2060424425MaRDI QIDQ1937200

Rui Tang, Zhengjun Zhang, Jun Shao

Publication date: 28 February 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.11.008

zbMATH Keywords

extreme value theoryvalue-at-riskGMM estimatormultivariate maxima of moving maxima model

Mathematics Subject Classification ID

Related Items (7)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang ⋮ Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ New extreme value theory for maxima of maxima ⋮ An extended sparse max-linear moving model with application to high-frequency financial data ⋮ Copula structured M4 processes with application to high-frequency financial data

Uses Software

• FinTS

Cites Work

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• Analysis of Financial Time Series
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