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Inference on the tail process with application to financial time series modelling

Author

Listed:
  • Davis, Richard A.
  • Drees, Holger
  • Segers, Johan
  • WarchoÅ‚, MichaÅ‚

Abstract

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Suggested Citation

  • Davis, Richard A. & Drees, Holger & Segers, Johan & WarchoÅ‚, MichaÅ‚, 2018. "Inference on the tail process with application to financial time series modelling," LIDAM Reprints ISBA 2018022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018022
    Note: In : Journal of Econometrics, vol. 205, no. 2, p. 508-525 (2018)
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    Cited by:

    1. Damek, Ewa & Mikosch, Thomas & Zhao, Yuwei & Zienkiewicz, Jacek, 2023. "Whittle estimation based on the extremal spectral density of a heavy-tailed random field," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 232-267.
    2. Bücher, Axel & Jennessen, Tobias, 2022. "Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 75-106.
    3. Drees, Holger & Janßen, Anja & Neblung, Sebastian, 2021. "Cluster based inference for extremes of time series," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 1-33.
    4. Gloria Buriticá & Philippe Naveau, 2023. "Stable sums to infer high return levels of multivariate rainfall time series," Environmetrics, John Wiley & Sons, Ltd., vol. 34(4), June.
    5. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
    6. Buriticá, Gloria & Mikosch, Thomas & Wintenberger, Olivier, 2023. "Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 68-101.

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