A Fourier analysis of extreme events

12 March 2014

Papers citing "A Fourier analysis of extreme events"

15 / 15 papers shown

Title
The integrated periodogram of a dependent extremal event sequence T. Mikosch Yuwei Zhao 56 11 0 13 Mar 2015
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 70 37 0 31 Mar 2013
Measures of serial extremal dependence and their estimation Richard A. Davis T. Mikosch Yuwei Zhao 95 61 0 25 Mar 2013
Precise large deviations for dependent regularly varying sequences T. Mikosch Olivier Wintenberger 82 46 0 07 Jun 2012
The quantile spectral density and comparison based tests for nonlinear time series JunBum Lee S. Subba Rao 96 30 0 13 Dec 2011
Of copulas, quantiles, ranks and spectra: An $L_1$ -approach to spectral analysis Holger Dette Marc Hallin Tobias Kley S. Volgushev 158 72 0 30 Nov 2011
Robust Spectral Analysis Andreas Hagemann 100 50 0 08 Nov 2011
Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram Richard A. Davis T. Mikosch Ivor Cribben 98 9 0 27 Jul 2011
The extremogram: A correlogram for extreme events Richard A. Davis T. Mikosch 151 215 0 12 Jan 2010
A functional limit theorem for dependent sequences with infinite variance stable limits Bojan Basrak Danijel Krizmanić Johan Segers 128 82 0 08 Jan 2010
Stable limits for sums of dependent infinite variance random variables K. Bartkiewicz Adam Jakubowski T. Mikosch Olivier Wintenberger 90 76 0 15 Jun 2009
A Sliding Blocks Estimator for the Extremal Index C. Robert Johan Segers C. Ferro 78 53 0 22 Dec 2008
New Techniques for Empirical Process of Dependent Data H. Dehling O. Durieu Dalibor Volný 114 45 0 18 Jun 2008
Regularly varying multivariate time series Bojan Basrak Johan Segers 139 221 0 26 Jul 2007