Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram

Posted: 23 May 2013 Last revised: 30 May 2013

See all articles by Richard A. Davis

Richard A. Davis

Columbia University

Thomas Mikosch

University of Copenhagen - Laboratory of Actuarial Mathematics

Ivor Cribben

University of Alberta - Department of Accounting, Operations & Information Systems

Date Written: May 22, 2009

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

JEL Classification: C50

Suggested Citation

Davis, Richard A. and Mikosch, Thomas and Cribben, Ivor, Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram (May 22, 2009). Journal of Econometrics, Vol. 170, No. 1, 2012, University of Alberta School of Business Research Paper No. 2013-203, Available at SSRN: https://ssrn.com/abstract=2268710

Richard A. Davis

Columbia University ( email )

3022 Broadway
New York, NY 10027
United States

Thomas Mikosch

University of Copenhagen - Laboratory of Actuarial Mathematics ( email )

Nørregade 10
Copenhagen, København DK-1165
Denmark
+45 3532 0793 (Phone)
+45 3532 0772 (Fax)

Ivor Cribben (Contact Author)

University of Alberta - Department of Accounting, Operations & Information Systems

4-30G Business Building
University of Alberta
Edmonton, Alberta T6G 2R6
Canada

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