Extremograms and extremal dependence for time series.

• Other Authors: Fung, Yu Hin.
• Format: Others
• Language: English; Chinese
• Published: 2011
• Subjects: Time-series analysis > Mathematical models; Graphic methods
• Online Access: http://library.cuhk.edu.hk/record=b5894666; http://repository.lib.cuhk.edu.hk/en/item/cuhk-327386

Fung, Yu Hin. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. === Includes bibliographical references (leaves 39-40). === Abstracts in English and Chinese. === List of Figures --- p.v === List of Tables --- p.vii === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Extremogram --- p.3 === Chapter 2.1 --- Strictly Stationary --- p.3 === Chapter 2.2 --- Regularly Varying: A time series {Xt} --- p.3 === Chapter 2.3 --- (Upper) tail dependence --- p.5 === Chapter 2.4 --- Extremogram --- p.6 === Chapter 3 --- Simulated Models --- p.9 === Chapter 3.1 --- Autoregressive (AR) Process --- p.9 === Chapter 3.1.1 --- The simulation --- p.9 === Chapter 3.1.2 --- Theoretical findings --- p.11 === Chapter 3.2 --- Moving Average (MA) Process --- p.12 === Chapter 3.2.1 --- The simulation --- p.12 === Chapter 3.3 --- GARCH and SV --- p.25 === Chapter 4 --- Applications to Market Data --- p.29 === Chapter 4.1 --- Case study: 2011 Japan Earthquake EOD data --- p.29 === Chapter 4.1.1 --- Data description --- p.29 === Chapter 4.1.2 --- Results --- p.30 === Chapter 4.2 --- Case study: TEPCO multi-timeframe analysis --- p.31 === Chapter 4.2.1 --- Data description --- p.31 === Chapter 4.2.2 --- Results --- p.32 === Chapter 5 --- Summary --- p.37 === References --- p.39