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Estimation of limiting conditional distributions for the heavy tailed
  long memory stochastic volatility process

Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process

16 August 2011
Rafal Kulik
P. Soulier
ArXiv (abs)PDFHTML

Papers citing "Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process"

2 / 2 papers shown
Title
The extremogram: A correlogram for extreme events
The extremogram: A correlogram for extreme events
Richard A. Davis
T. Mikosch
147
215
0
12 Jan 2010
Conditioning on an extreme component: Model consistency with regular
  variation on cones
Conditioning on an extreme component: Model consistency with regular variation on cones
Bikramjit Das
Sidney I. Resnick
117
72
0
28 May 2008
1