High-level dependence in time series models
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- Fasen, V., Klüppelberg, C. & Schlather, M. Extremes (2010) 13: 1. doi:10.1007/s10687-009-0084-8
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We present several notions of high-level dependence for stochastic processes, which have appeared in the literature. We calculate such measures for discrete and continuous-time models, where we concentrate on time series with heavy-tailed marginals, where extremes are likely to occur in clusters. Such models include linear models and solutions to random recurrence equations; in particular, discrete and continuous-time moving average and (G)ARCH processes. To illustrate our results we present a small simulation study.