Copula structured M4 processes with application to high-frequency financial data
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- scientific article; zbMATH DE number 7295850
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- scientific article; zbMATH DE number 6390866
Cites work
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
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- High-frequency covariance estimates with noisy and asynchronous financial data
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Cited in
(12)- Modeling maxima with autoregressive conditional Fréchet model
- On the estimation and application of max-stable processes
- An extended sparse max-linear moving model with application to high-frequency financial data
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- scientific article; zbMATH DE number 7295850 (Why is no real title available?)
- Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
- New extreme value theory for maxima of maxima
- Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Max-linear regression models with regularization
- Copula estimation for nonsynchronous financial data
- Extremal properties of M4 processes
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