Sparse moving maxima models for tail dependence in multivariate financial time series
From MaRDI portal
Publication:1937200
DOI10.1016/j.jspi.2012.11.008zbMath1259.62083OpenAlexW2060424425MaRDI QIDQ1937200
Rui Tang, Zhengjun Zhang, Jun Shao
Publication date: 28 February 2013
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.11.008
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)
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On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures, Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’, Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang, Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”, New extreme value theory for maxima of maxima, An extended sparse max-linear moving model with application to high-frequency financial data, Copula structured M4 processes with application to high-frequency financial data
Uses Software
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