Abstract

Heavy-tail phenomena are common in real-life data; the finance and insurance industries, telecommunications, and environment-related events offer typical examples of such phenomena. We focus on the particular topic of the extremogram, for which Davis and Mikosh (2009) present an empirical estimator. We propose the use of a semi-parametric model which allows extrapolation beyond the range of the data and flexible enough to cover any type of extremal dependence.

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