Towards estimating extremal serial dependence via the bootstrapped extremogram

Journal of Econometrics

Volumn 170, Issue 1, 2012, Pages 142-152

  Davis, Richard A ^a   Mikosch, Thomas ^b   Cribben, Ivor ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Extremal dependence; Extremogram; Financial time series; Stationary bootstrap

Indexed keywords

CONFIDENCE BANDS; EXTREMAL; EXTREMOGRAM; FINANCIAL TIME SERIES; QUANTITATIVE TOOL; SERIAL DEPENDENCE; STATIONARY BOOTSTRAP; STATIONARY TIME SERIES; STATISTICAL PROPERTIES;

STATISTICAL METHODS;

FINANCIAL DATA PROCESSING;

EID: 84863988951     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.04.003     Document Type: Article

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