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ArticleTowards estimating extremal serial dependence via the bootstrapped extremogram

Richard Arnold Davis2012

Article2012

Towards estimating extremal serial dependence via the bootstrapped extremogram

Richard Arnold Davis · Thomas Mikosch · Ivor Cribben

64 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2011Quantitative Risk Management 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling 2010Handbook of Financial Time Series 2009The extremogram: A correlogram for extreme events

Cited by

2013Statistical Inference for Max-Stable Processes in Space and Time 2013Measures of serial extremal dependence and their estimation 2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization 2017Point process models for extreme returns: Harnessing implied volatility 2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis

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Year2012

Typearticle

Published2012-05-02

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations64

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2012.04.003

openalex_workW2052450848

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