Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram
Journal of Econometrics, Vol. 170, No. 1, 2012
University of Alberta School of Business Research Paper No. 2013-203
Posted: 23 May 2013 Last revised: 30 May 2013
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: Suggested Citation