2011/07/27 by Richard A. Davis, Thomas Mikosch, Davis, Richard A. +3
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Methodology (stat.ME) #Statistics Theory (math.ST) #math.ST #stat.ME #stat.TH
paper · pdf · doi:10.48550/arxiv.1107.5592
29 pages
arxiv created 2011/07/27 · openalex publication_date 2011/07/27 · arxiv updated 2011/07/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Davis and Mikosch [7] 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 confidence bands for the extremogram. In this paper, we employ the stationary bootstrap to overcome this problem. Moreover, we introduce the cross extremogram as a measure of extremal serial dependence between two or more time series. We also study the extremogram for return times between extremal events. The use of the stationary bootstrap for the extremogram and the resulting interpretations are illustrated in several univariate and multivariate financial time series examples.