Towards estimating extremal serial dependence via the bootstrapped extremogram
DOI10.1016/J.JECONOM.2012.04.003zbMATH Open1443.62251OpenAlexW2052450848MaRDI QIDQ528029FDOQ528029
Authors: T. Mikosch, Ivor Cribben, 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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- The Stationary Bootstrap
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- Heavy-Tail Phenomena
- Regularly varying multivariate time series
- Probabilistic Properties of Stochastic Volatility Models
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- About the Lindeberg method for strongly mixing sequences
- Point process convergence of stochastic volatility processes with application to sample autocorrelation
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- The extremogram: a correlogram for extreme events
- Extreme Value Theory for GARCH Processes
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
Cited In (24)
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field
- A modeler's guide to extreme value software
- Tail adversarial stability for regularly varying linear processes and their extensions
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
- Practical issues with modeling extreme Brazilian rainfall
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- The extremogram: a correlogram for extreme events
- The integrated periodogram of a dependent extremal event sequence
- A Fourier analysis of extreme events
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- Threshold selection for multivariate heavy-tailed data
- Inference on the tail process with application to financial time series modeling
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series
- Extremal Dependence-Based Specification Testing of Time Series
- Bootstrapping Hill estimator and tail array sums for regularly varying time series
- Asymptotic properties of the empirical spatial extremogram
- Measures of serial extremal dependence and their estimation
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- Conex-connect: learning patterns in extremal brain connectivity from multichannel EEG data
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals
- On the measurement and treatment of extremes in time series
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes
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