Inference on the tail process with application to financial time series modeling
Richard A. Davis, Holger Drees, Johan Segers, Michał Warchoł
| Year of publication: |
2018
|
|---|---|
| Authors: | Davis, Richard A. ; Drees, Holger ; Segers, Johan ; Warchoł, Michał |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 205.2018, 2, p. 508-525
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| Subject: | Financial time series | Heavy-tails | Multiplier block bootstrap | Regular variation | Shock persistence | Stationary time series | Tail process | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Börsenkurs | Share price | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schock | Shock | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Multiplikator | Multiplier |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.01.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110330