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

zbMATH Keywords

extremogramextremal dependencestationary bootstrapfinancial time series

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• About the Lindeberg method for strongly mixing sequences
• Extreme Value Theory for GARCH Processes
• Extremes of Stochastic Volatility Models
• Heavy-Tail Phenomena
• Point process convergence of stochastic volatility processes with application to sample autocorrelation
• Probabilistic Properties of Stochastic Volatility Models
• Regularly varying multivariate time series
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• The Stationary Bootstrap
• The extremogram: a correlogram for extreme events
• Towards estimating extremal serial dependence via the bootstrapped extremogram

Cited in

(24)

• Practical issues with modeling extreme Brazilian rainfall
• Tail adversarial stability for regularly varying linear processes and their extensions
• Bootstrapping Hill estimator and tail array sums for regularly varying time series
• Towards estimating extremal serial dependence via the bootstrapped extremogram
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Conex-connect: learning patterns in extremal brain connectivity from multichannel EEG data
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
• Asymptotic independence and support detection techniques for heavy-tailed multivariate data
• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals
• A modeler's guide to extreme value software
• Asymptotic properties of the empirical spatial extremogram
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
• The extremogram: a correlogram for extreme events
• A Fourier analysis of extreme events
• Measures of serial extremal dependence and their estimation
• Threshold selection for multivariate heavy-tailed data
• The integrated periodogram of a dependent extremal event sequence
• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• On the measurement and treatment of extremes in time series
• Inference on the tail process with application to financial time series modeling
• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
• Extremal Dependence-Based Specification Testing of Time Series

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