Stochastic tail index model for high frequency financial data with Bayesian analysis

DOI10.1016/J.JECONOM.2018.03.019zbMATH Open1452.62781OpenAlexW2802174541WikidataQ129915196 ScholiaQ129915196MaRDI QIDQ1644258FDOQ1644258

Authors: Guangyu Mao, Zhengjun Zhang 

Publication date: 21 June 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.019

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zbMATH Keywords

state space modelBayesian statisticsextreme valuestail indexhigh frequency

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (9)

• Adaptive robust large volatility matrix estimation based on high-frequency financial data
• High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• 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”
• Volatility models for stylized facts of high‐frequency financial data
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
• Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data
• Dynamic tail inference with log-Laplace volatility

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