Measures of serial extremal dependence and their estimation

The goal of this paper is two-fold: (1) We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. (2) We discuss recent concepts of heavy-tailed time series, including regular variation and max-stable processes.

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Year of publication:	2013
Authors:	Davis, Richard A. ; Mikosch, Thomas ; Zhao, Yuwei
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 7, p. 2575-2602
Publisher:	Elsevier
Subject:	Extremogram \| Extremal index \| Regular variation \| Max-stable process \| Periodogram

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065065