Measures of serial extremal dependence and their estimation

25 March 2013

Papers citing "Measures of serial extremal dependence and their estimation"

8 / 8 papers shown

Title
A Fourier analysis of extreme events T. Mikosch Yuwei Zhao 87 15 0 12 Mar 2014
Stochastic volatility models with possible extremal clustering T. Mikosch M. Rezapour 73 22 0 10 Dec 2013
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains T. Mikosch Olivier Wintenberger 80 37 0 31 Mar 2013
Precise large deviations for dependent regularly varying sequences T. Mikosch Olivier Wintenberger 82 46 0 07 Jun 2012
Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram Richard A. Davis T. Mikosch Ivor Cribben 106 9 0 27 Jul 2011
The extremogram: A correlogram for extreme events Richard A. Davis T. Mikosch 151 215 0 12 Jan 2010
A Sliding Blocks Estimator for the Extremal Index C. Robert Johan Segers C. Ferro 78 53 0 22 Dec 2008
Regularly varying multivariate time series Bojan Basrak Johan Segers 139 221 0 26 Jul 2007