Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Inference on the tail process with application to financial time series
  modelling   To draw inference on serial extremal dependence within heavy-tailed Markov
chains, Drees, Segers and Warcho{\l} [Extremes (2015) 18, 369--402] proposed
nonparametric estimators of the spectral tail process. The methodology can be
extended to the more general setting of a stationary, regularly varying time
series. The large-sample distribution of the estimators is derived via
empirical process theory for cluster functionals. The finite-sample performance
of these estimators is evaluated via Monte Carlo simulations. Moreover, two
different bootstrap schemes are employed which yield confidence intervals for
the pre-asymptotic spectral tail process: the stationary bootstrap and the
multiplier block bootstrap. The estimators are applied to stock price data to
study the persistence of positive and negative shocks.

8
The categories of this paper are: hep-ex
13
The categories of this paper are: quant-ph
20
The categories of this paper are: acc-phys
21
The categories of this paper are: adap-org
6
The categories of this paper are: astro-ph
2
The categories of this paper are: math
29
The categories of this paper are: funct-an
15
The categories of this paper are: nucl-ex
28
The categories of this paper are: alg-geom
4
The categories of this paper are: cond-mat
18
The categories of this paper are: econ
24
The categories of this paper are: dg-ga
26
The categories of this paper are: bayes-an
10
The categories of this paper are: q-bio
37
The categories of this paper are: supr-con
7
The categories of this paper are: hep-th