Copula structured M4 processes with application to high-frequency financial data

DOI10.1016/j.jeconom.2016.05.004zbMath1443.62295OpenAlexW2410476501WikidataQ114666103 ScholiaQ114666103MaRDI QIDQ308364

Zhengjun Zhang, Bin Zhu

Publication date: 6 September 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.004

zbMATH Keywords

time seriesfinanceGMM estimatorsparse multivariate maxima of moving maxima model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (8)

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 ⋮ Max-linear regression models with regularization ⋮ Copula estimation for nonsynchronous financial data ⋮ Modeling maxima with autoregressive conditional Fréchet model

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