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

DOI10.1016/j.jeconom.2018.01.009zbMath1452.62759arXiv1604.00954MaRDI 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 variation; heavy-tails; financial time series; stationary time series; tail process; shock persistence; multiplier block bootstrap

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

Uses Software

• RMetrics
• fGarch
• quantilogram