Towards estimating extremal serial dependence via the bootstrapped extremogram

DOI10.1016/j.jeconom.2012.04.003zbMath1443.62251OpenAlexW2052450848MaRDI QIDQ528029

Ivor Cribben, Thomas Mikosch, Richard A. Davis

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000978

zbMATH Keywords

extremogramfinancial time seriesstationary bootstrapextremal dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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Cites Work

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• Towards estimating extremal serial dependence via the bootstrapped extremogram
• The extremogram: a correlogram for extreme events
• Regularly varying multivariate time series
• About the Lindeberg method for strongly mixing sequences
• Point process convergence of stochastic volatility processes with application to sample autocorrelation
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Extreme Value Theory for GARCH Processes
• Probabilistic Properties of Stochastic Volatility Models
• Extremes of Stochastic Volatility Models
• The Stationary Bootstrap
• Heavy-Tail Phenomena

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