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Time Series Analysis for Heavy-Tailed Processes

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Modelling Extremal Events

Part of the book series: Applications of Mathematics ((SMAP,volume 33))

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Abstract

In this chapter we present some recent research on time series with large fluctuations, relevant for many financial time series. We approach the problem starting from classical time series analysis presented in such a way that many standard results can also be used in the heavy-tailed case.

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Notes and Comments

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Authors and Affiliations

  1. Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland

    Paul Emberchts

  2. Center for Mathematical Sciences, Munich University of Technology, Boltzmannstraße 3, 85747, Garching, Germany

    Claudia Klüppelberg

  3. Laboratory of Actuarial Mathematics, University of Copenhagen, Universitetsparken 5, 2100, Copenhagen, Denmark

    Thomas Mikosch

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Emberchts, P., Klüppelberg, C., Mikosch, T. (1997). Time Series Analysis for Heavy-Tailed Processes. In: Modelling Extremal Events. Applications of Mathematics, vol 33. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33483-2_8

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