# High-level dependence in time series models

@article{Fasen2010HighlevelDI, title={High-level dependence in time series models}, author={Vicky Fasen and Claudia Kl{\"u}ppelberg and Martin Schlather}, journal={Extremes}, year={2010}, volume={13}, pages={1-33} }

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 we present a… CONTINUE READING

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