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Document type:
Zeitschriftenaufsatz 
Author(s):
Fasen, V., Klüppelberg, C., Schlather, M. 
Title:
High-level dependence in time series models 
Abstract:
We present several notions of high-level dependence for stochastic processes, which have appeared in the literature. We calculate such measures for discrete and continuous-time models, where we concentrate on time series with heavy-tailed marginals, where extremes are likely to occur in clusters. Such models include linear models and solutions to random recurrence equations; in particular, discrete and continuous-time moving average and (G)ARCH processes. To illustrate our results w...    »
 
Keywords:
ARCH, COGARCH, extreme cluster, extreme dependence measure, extremal index, extreme value theory, GARCH, linear model, multivariate regular variation, nonlinear model, Lévy-driven Ornstein-Uhlenbeck process, random recurrence equation 
Journal title:
Extremes 
Year:
2010 
Journal volume:
13 
Journal issue:
Pages contribution:
1-33 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text