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pro vyhledávání: '"Mikosch, Thomas"'
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the generalized autoregressive conditional duration (ACD) model, the so-called A
Externí odkaz:
http://arxiv.org/abs/2307.01779
We study the joint limit behavior of sums, maxima and $\ell^p$-type moduli for samples taken from an $\mathbb{R}^d$-valued regularly varying stationary sequence with infinite variance. As a consequence, we can determine the distributional limits for
Externí odkaz:
http://arxiv.org/abs/2303.17221
We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into account o
Externí odkaz:
http://arxiv.org/abs/2211.03260
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by Engle and R
Externí odkaz:
http://arxiv.org/abs/2208.02098
We study an independence test based on distance correlation for random fields $(X,Y)$. We consider the situations when $(X,Y)$ is observed on a lattice with equidistant grid sizes and when $(X,Y)$ is observed at random locations. We provide asymptoti
Externí odkaz:
http://arxiv.org/abs/2107.03162
Large deviations of lp-blocks of regularly varying time series and applications to cluster inference
In the regularly varying time series setting, a cluster of exceedances is a short period for which the supremum norm exceeds a high threshold. We propose to study a generalization of this notion considering short periods, or blocks, with lp-norm abov
Externí odkaz:
http://arxiv.org/abs/2106.12822
We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus on heavy-tailed time series, in particular on regularly varying stati
Externí odkaz:
http://arxiv.org/abs/2106.05117
Publikováno v:
In Journal of Econometrics January 2024 238(2)
Autor:
Mikosch, Thomas, Rodionov, Igor
In this paper we study precise large deviations for the partial sums of a stationary sequence with a subexponential marginal distribution. Our main focus is on distributions which either have a regularly varying or a lognormal-type tail. We apply the
Externí odkaz:
http://arxiv.org/abs/2009.05790