Towards Estimating Extremal Serial Dependence via the Bootstrapped Extremogram
نویسندگان
چکیده
Davis and Mikosch [3] 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. coordinating author: Department of Statistics, 1255 Amsterdam Avenue, Columbia University, New York, NY 10027, USA; email: [email protected]
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