Copula structured M4 processes with application to high-frequency financial data
Copula 结构的 M4 过程及其在高频金融数据中的应用
Statistical applications of classical parametric max-stable processes are still sparse mostly due to lack of (1) efficiency of statistical estimation of many parameters in the processes, (2) flexibility of concurrently modeling asymptotic independence and asymptotic dependence among variables, and (3) capability of fitting real data directly. This paper studies a more flexible model, i.e. a class of copula structured M4 (multivariate maxima and moving maxima) processes, and…