Towards estimating extremal serial dependence via the bootstrapped extremogram
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Cites work
- About the Lindeberg method for strongly mixing sequences
- Extreme Value Theory for GARCH Processes
- Extremes of Stochastic Volatility Models
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- 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 extremogram: a correlogram for extreme events
- The Stationary Bootstrap
- Towards estimating extremal serial dependence via the bootstrapped extremogram
Cited in
(26)- Inference on the tail process with application to financial time series modeling
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series
- Bootstrapping Hill estimator and tail array sums for regularly varying time series
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- Practical issues with modeling extreme Brazilian rainfall
- The integrated periodogram of a dependent extremal event sequence
- Threshold selection for multivariate heavy-tailed data
- Measures of serial extremal dependence and their estimation
- A Fourier analysis of extreme events
- Conex-connect: learning patterns in extremal brain connectivity from multichannel EEG data
- Asymptotic properties of the empirical spatial extremogram
- 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
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
- On the measurement and treatment of extremes in time series
- The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- The extremogram: a correlogram for extreme events
- A modeler's guide to extreme value software
- Tail adversarial stability for regularly varying linear processes and their extensions
- Extremal Dependence-Based Specification Testing of Time Series
- Inference on dynamic systemic risk measures
- The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
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