Heavy tailed time series with extremal independence

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Heavy tailed time series with extremal independence

5 July 2013

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Papers citing "Heavy tailed time series with extremal independence"

9 / 9 papers shown

Title
Stochastic volatility models with possible extremal clustering T. Mikosch M. Rezapour 65 22 0 10 Dec 2013
Markov Kernels and the Conditional Extreme Value Model Sidney I. Resnick David Zeber 98 5 0 10 Oct 2012
Clustering of Markov chain exceedances Sidney I. Resnick David Zeber 78 6 0 08 Oct 2012
Limit theorems for long memory stochastic volatility models with infinite variance: Partial Sums and Sample Covariances Rafal Kulik P. Soulier 37 12 0 24 Sep 2011
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process Rafal Kulik P. Soulier 78 11 0 16 Aug 2011
Products in Conditional Extreme Value Model R. S. Hazra Krishanu Maulik 53 3 0 09 Apr 2011
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 110 72 0 28 May 2008
Regularly varying multivariate time series Bojan Basrak Johan Segers 139 220 0 26 Jul 2007