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 … dependency structure of financial returns data and the proprieties of the extremes returns. Moreover, understanding clustering of … value, in which smaller values of the extremal index correspond to more clustering. We apply the interval estimator method …