Towards estimating extremal serial dependence via the bootstrapped extremogram
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Publication:528029
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
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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