Towards estimating extremal serial dependence via the bootstrapped extremogram

Richard A. Davis, Thomas Mikosch and Ivor Cribben

Journal of Econometrics, 2012, vol. 170, issue 1, 142-152

Abstract: 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 confidence bands for the extremogram. In this paper, we employ the stationary bootstrap to overcome this problem. The use of the stationary bootstrap for the extremogram and the resulting interpretations are illustrated with several financial time series.

Keywords: Extremogram; Extremal dependence; Stationary bootstrap; Financial time series (search for similar items in EconPapers)
JEL-codes: C50 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:170:y:2012:i:1:p:142-152

DOI: 10.1016/j.jeconom.2012.04.003

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