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Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram

Davis, Richard A. - 2013

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...

Persistent link: https://www.econbiz.de/10013081616

Handbook of financial time series

Andersen, Torben (ed.); Davis, Richard A. (ed.); … - 2009

Persistent link: https://www.econbiz.de/10003494231

Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram

Davis, Richard A. - 2013

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...

Persistent link: https://www.econbiz.de/10013081613

Change of structure in financial time series, long range dependence and the GARCH model

Mikosch, Thomas; Starica, Catalin - 2000

Persistent link: https://www.econbiz.de/10001468893

Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects

Mikosch, Thomas; Starica, Catalin - In: The review of economics and statistics 86 (2004) 1, pp. 378-390

Persistent link: https://www.econbiz.de/10002018201

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729

Persistent link: https://www.econbiz.de/10015401165

Tail behavior of ACD models and consequences for likelihood-based estimation

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015073910

Maximum likelihood estimation for MA (1) processes with a root on or near the unit circle

Davis, Richard A. - In: Econometric theory 12 (1996) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10001201819

Introduction to time series and forecasting : [includes ITSM 2000]

Brockwell, Peter J.; Davis, Richard A. - 2002 - 2. ed.

Persistent link: https://www.econbiz.de/10001597703

Time series : theory and methods

Brockwell, Peter J.; Davis, Richard A. - 1996 - 2. ed., corr. 5. printing

Persistent link: https://www.econbiz.de/10000613528

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