Alokley, Sara Ali; Albarrak, Mansour Saleh - In: Journal of risk and financial management : JRFM 13 (2020) 7/141, pp. 1-11
This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index value, in which smaller values of the extremal index correspond to more clustering. We apply the interval estimator method to determine the extremal index for a range of...
