Copula structured M4 processes with application to high-frequency financial data
DOI10.1016/J.JECONOM.2016.05.004zbMATH Open1443.62295OpenAlexW2410476501WikidataQ114666103 ScholiaQ114666103MaRDI QIDQ308364FDOQ308364
Authors: Zhengjun Zhang, Bin Zhu 
Publication date: 6 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.004
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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)
Cites Work
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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
- Title not available (Why is that?)
- 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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