Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2575-2602
The goal of this paper is two-fold: (1) We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. (2) We discuss recent concepts of heavy-tailed time series, including regular variation and max-stable processes.
