The extremogram: a correlogram for extreme events

DOI10.3150/09-BEJ213zbMath1200.62104arXiv1001.1821OpenAlexW3102144486MaRDI QIDQ605880

Thomas Mikosch, Richard A. Davis

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1821

zbMATH Keywords

GARCHstationary sequencemultivariate regular variationtail dependence coefficientstochastic volatility process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Statistics of extreme values; tail inference (62G32) Asymptotic properties of parametric tests (62F05)

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