Inference on the tail process with application to financial time series modeling

DOI10.1016/j.jeconom.2018.01.009zbMath1452.62759arXiv1604.00954OpenAlexW2786270406WikidataQ129882254 ScholiaQ129882254MaRDI QIDQ1644260

Y. Aharonov

Publication date: 21 June 2018

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

Full work available at URL: https://arxiv.org/abs/1604.00954

zbMATH Keywords

regular variationheavy-tailsfinancial time seriesstationary time seriestail processshock persistencemultiplier block bootstrap

Mathematics Subject Classification ID

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

Related Items

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’, Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution, Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference, Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds, Statistics for heteroscedastic time series extremes, Cluster based inference for extremes of time series, Ordinal patterns in clusters of subsequent extremes of regularly varying time series, Asymptotics for sliding blocks estimators of rare events, Bootstrapping Hill estimator and tail array sums for regularly varying time series, Whittle estimation based on the extremal spectral density of a heavy-tailed random field

Uses Software

• RMetrics
• fGarch
• quantilogram

Cites Work

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