Towards estimating extremal serial dependence via the bootstrapped extremogram

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Statistical inference for max‐stable processes in space and time (2012, methodology): “The situation here is similar to the estimation of the extremogram, where bootstrap methods have been suggested to construct 806 R. A. Davis, C. Klüppelberg and C. Steinkohl asymptotically correct confidence bands (see Davis and Mikosch (2009) and Davis et al. (2012)).”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, methodology): “Davis and Mikosch (2009) have introduced the extremogram, which is essentially the quantilogram for extreme quantiles, and Davis et al. (2012) has provided the inference methods based on bootstrap and permutation for the extremogram.”