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

DOI10.1016/j.jspi.2012.11.008zbMath1259.62083MaRDI 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 theory; value-at-risk; GMM estimator; multivariate maxima of moving maxima model

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

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

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

91G70: Statistical methods; risk measures

62G32: Statistics of extreme values; tail inference

Related Items

Copula structured M4 processes with application to high-frequency financial data

Uses Software

• FinTS

Cites Work

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