Marked point process adjusted tail dependence analysis for high-frequency financial data

DOI10.4310/SII.2015.V8.N1.A10zbMath1407.62388OpenAlexW2325391650MaRDI QIDQ1747435

Martin Schlather, Zhengjun Zhang, Alexander Malinowski

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2015.v8.n1.a10

zbMATH Keywords

tail indexmoment measuretransaction datamark-location dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

New extreme value theory for maxima of maxima ⋮ Modeling maxima with autoregressive conditional Fréchet model ⋮ Mark to market value at risk

This page was built for publication: Marked point process adjusted tail dependence analysis for high-frequency financial data