Measures of serial extremal dependence and their estimation
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DOI: 10.1016/j.spa.2013.03.014
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- Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP) dp-690, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016.
"The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series,"
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- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers 06/14, Institute for Fiscal Studies.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers CWP06/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hashorva, Enkelejd, 2018. "Representations of max-stable processes via exponential tilting," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2952-2978.
- von Sachs, Rainer, 2019. "Spectral Analysis of Multivariate Time Series," LIDAM Discussion Papers ISBA 2019008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Raphaël de Fondeville & Anthony C. Davison, 2022. "Functional peaks‐over‐threshold analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1392-1422, September.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017.
"Quantile spectral analysis for locally stationary time series,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
- Stefan Skowronek & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ecares 2014-24, ULB -- Universite Libre de Bruxelles.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
- Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
- Yuichi Goto & Tobias Kley & Ria Van Hecke & Stanislav Volgushev & Holger Dette & Marc Hallin, 2021. "The Integrated Copula Spectrum," Working Papers ECARES 2021-29, ULB -- Universite Libre de Bruxelles.
- Mikosch, Thomas & Zhao, Yuwei, 2015. "The integrated periodogram of a dependent extremal event sequence," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3126-3169.
- Todorova, Neda, 2017. "The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis," Economic Modelling, Elsevier, vol. 64(C), pages 221-230.
- Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2016. "On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities," Working Papers ECARES ECARES 2016-38, ULB -- Universite Libre de Bruxelles.
- Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
- Heejoon Han, 2016. "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers 1608.07193, arXiv.org.
- Segers, Johan & Zhao, Yuwei & Meinguet, Thomas, 2016. "Radial-angular decomposition of regularly varying time series in star-shaped metric spaces," LIDAM Discussion Papers ISBA 2016017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Duan, Kun & Ren, Xiaohang & Wen, Fenghua & Chen, Jinyu, 2023. "Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework," Journal of Commodity Markets, Elsevier, vol. 29(C).
- Buhl, Sven & Klüppelberg, Claudia, 2018. "Limit theory for the empirical extremogram of random fields," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 2060-2082.
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Keywords
Extremogram; Extremal index; Regular variation; Max-stable process; Periodogram;All these keywords.
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