An extended sparse max-linear moving model with application to high-frequency financial data

DOI10.1080/24754269.2017.1346852OpenAlexW3121687452MaRDI QIDQ5880168FDOQ5880168

Authors: Timothy Idowu, Zhengjun Zhang 

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2017.1346852

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zbMATH Keywords

Bayesian inferencetime seriesextreme value theoryhigh-frequency financial datamax-stable processesmax-linear models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Title not available (Why is that?)
• Title not available (Why is that?)
• Point processes and multivariate extreme values
• On the estimation and application of max-stable processes
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Monte Carlo sampling methods using Markov chains and their applications
• Bivariate extreme statistics. I
• Basic properties and prediction of max-ARMA processes
• Equation of state calculations by fast computing machines
• Sur la distribution limite du terme maximum d'une série aléatoire
• Moving-maximum models for extrema of time series
• Diagnostics for Dependence within Time Series Extremes
• Extremal financial risk models and portfolio evaluation
• Sparse moving maxima models for tail dependence in multivariate financial time series
• Copula structured M4 processes with application to high-frequency financial data
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Efficient estimation and particle filter for max-stable processes
• Adaptively scaling the Metropolis algorithm using expected squared jumped distance

Cited In (5)

• Separating information maximum likelihood method for high-frequency financial data
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• New extreme value theory for maxima of maxima
• Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
• Sparse moving maxima models for tail dependence in multivariate financial time series

Uses Software

• BayesDA

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