Davis and Mikosch introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram. A major difficulty was the construction of credible...

Davis and Mikosch (2009a) introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram. A major difficulty was the construction of credible...

Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...