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Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram

Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram

Richard A. Davis
T. Mikosch
Ivor Cribben
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Papers citing "Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram"

2 / 2 papers shown
Title
The extremogram: A correlogram for extreme events
The extremogram: A correlogram for extreme events
Richard A. Davis
T. Mikosch
151
215
0
12 Jan 2010
Regularly varying multivariate time series
Regularly varying multivariate time series
Bojan Basrak
Johan Segers
139
221
0
26 Jul 2007