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1108.3136
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Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
16 August 2011
Rafal Kulik
P. Soulier
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ArXiv (abs)
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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
Richard A. Davis
T. Mikosch
147
215
0
12 Jan 2010
Conditioning on an extreme component: Model consistency with regular variation on cones
Bikramjit Das
Sidney I. Resnick
117
72
0
28 May 2008
1