Measures of serial extremal dependence and their estimation
By Richard A. Davis, Thomas Mikosch, Yuwei Zhao. 2013
64 citations recorded by the source corpus.
The goal of this paper is two-fold: (1) We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. (2) We discuss recent concepts of heavy-tailed time series, including regular variation and max-stable processes.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/819027e724f5f8150025b302caafbb2495159286
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Raphaël de Fondeville
- A. C. Davison
- Marc Hallin
- Stanislav Volgushev
- Holger Dette
- Sebastian Engelke
- Tobias Kley
- Stefan Birr
In Finance
- Sebastian Engelke
- Raphaël de Fondeville
- A. C. Davison
- Enkelejd Hashorva
- Stanislav Volgushev
- Marc Hallin
- Holger Dette
- Krzysztof Debicki
Citations in the corpus
- Functional peaks‐over‐threshold analysis (2020, background): “and de Haan (1974) and Pickands (1975), and statistical aspects were developed by Davison (1984), Smith (1984) and Davison and Smith (1990).”
- Generalized Pickands constants and stationary max-stable processes (2016, background): “Specifically, Dieker and Mikosch (2015) showed that (see also Stoev, 2010; Davis et al., 2013)”
- Quantile spectral analysis for locally stationary time series (2014, methodology): “Somewhat different approaches were taken by Hong (2000), Davis et al. (2013) and several others; in the time domain, Linton and Whang (2007), Davis and Mikosch (2009), and Han et al. (2016) introduced the related concepts of quantilograms and extremograms.”
- Quantile Spectral Processes: Asymptotic Analysis and Inference (2014, unknown): “A Fourier analysis of extreme events, which is related in spirit but quite different in many other respects, was considered by Davis, Mikosch and Zhao [11].”
- The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “See also Davis et al. (2013).”