The extremogram: a correlogram for extreme events

@article{Davis2009TheEA,
  title={The extremogram: a correlogram for extreme events},
  author={Richard A. Davis and Thomas Mikosch},
  journal={Bernoulli},
  year={2009},
  volume={15},
  pages={977-1009}
}
We consider a strictly stationary sequence of random vectors whose finite-dimensional distributions are jointly regularly varying with some positive index. This class of processes includes among others ARMA processes with regularly varying noise, GARCH processes with normally or student distributed noise, and stochastic volatility models with regularly varying multiplicative noise. We define an analog of the autocorrelation function, the extremogram, which only depends on the extreme values in… Expand

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