caa a22 4500 60546393X CHVBK 20210128100255.0 cr unu---uuuuu 210128e20150601xx s 000 0 eng 10.1007/s10687-014-0213-x doi (NATIONALLICENCE)springer-10.1007/s10687-014-0213-x Heavy tailed time series with extremal independence [Elektronische Daten] [Rafał Kulik, Philippe Soulier] We consider heavy tailed time series whose finite-dimensional distributions are extremally independent in the sense that extremely large values cannot be observed consecutively. This calls for methods beyond the classical multivariate extreme value theory which is convenient only for extremally dependent multivariate distributions. We use the Conditional Extreme Value approach to study the effect of an extreme value at time zero on the future of the time series. In formal terms, we study the limiting conditional distribution of future observations given an extreme value at time zero. To this purpose, we introduce conditional scaling functions and conditional scaling exponents. We compute these quantities for a variety of models, including Markov chains, exponential autoregressive models, stochastic volatility models with heavy tailed innovations or volatilities. Springer Science+Business Media New York, 2015 Multivariate regular variation nationallicence Extremal independence nationallicence Conditional scaling exponent nationallicence Markov chains nationallicence Stochastic volatility models nationallicence Kulik Rafał University of Ottawa, Ottawa, Ontario, Canada aut Soulier Philippe Université de Paris-Ouest Nanterre, Nanterre, France aut Extremes Springer US; http://www.springer-ny.com 18/2(2015-06-01), 273-299 1386-1999 18:2<273 2015 18 10687 https://doi.org/10.1007/s10687-014-0213-x text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10687-014-0213-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kulik Rafał University of Ottawa, Ottawa, Ontario, Canada aut NATIONALLICENCE 700 1- Soulier Philippe Université de Paris-Ouest Nanterre, Nanterre, France aut NATIONALLICENCE 773 0- Extremes Springer US; http://www.springer-ny.com 18/2(2015-06-01), 273-299 1386-1999 18:2<273 2015 18 10687