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On Exceedance Point Processes for Stationary Sequences under Mild Oscillation Restrictions
2 references·5 citing·33 second hop
On Exceedance Point Processes for Stationary Sequences under Mild Oscillation Restrictions (1989)On Exceedance Point Processes for Station…On the exceedance point process for a stationary sequence (1988)On the exceedance point proce…Extremal Theory for Stochastic Processes (1988)Extremal Theory for Stochasti…MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2019)MIXED CAUSAL-NONCAUSAL AR PRO…Operational Risk: The Sting is Still in the Tail but the Poison Depends on the Dose (2007)Operational Risk: The Sting i…Generalizations of the Hill estimator – asymptotic versus finite sample behaviour (2001)Generalizations of the Hill e…Extremal Analysis of Processes Sampled at Different Frequencies (2000)Extremal Analysis of Processe…Models for the extremes of Markov chains (1998)Models for the extremes of Ma…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)The Asymptotic Theory of Extreme Order Statistics (1990)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Semi-parametric estimation for heavy tailed distributions (2009)A simple generalisation of the Hill estimator (2012)Overview and Open Research Topics in Statistics of Univariate Extremes (2022)On extreme values in stationary sequences (1974)Extremes and local dependence in stationary sequences (1983)On a basis for ‘Peaks over Threshold’ modeling (1991)Markov chain models for threshold exceedances (1997)Regularly varying multivariate time series (2008)Limit theory for multivariate sample extremes (1977)Estimating the Extremal Index (1994)The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)Statistics for near independence in multivariate extreme values (1996)Limit Theorems for Empirical Processes of Cluster Functionals (2009)Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds (2012)Bivariate Extreme Value Theory: Models and Estimation (1988)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Estimation of Extreme Values by the Average Conditional Exceedance Rate Method (2013)A test for independence based on the correlation dimension (1996)Modelling Extremal Events (1997)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1 (2020)Modelling of extremal events in insurance and finance (1994)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme Correlation of International Equity Markets (2001)It's all in the data – consistent operational risk measurement and regulation (2007)Extreme Value Theory for Finance: A Survey (2012)U.S. Banking Sector Operational Losses and the Macroeconomic Environment (2019)
this work references cited by second hop

References

  • 1988Extremal Theory for Stochastic Processes282 cited
  • 1988On the exceedance point process for a stationary sequence240 cited

Cited by

  • 2001Generalizations of the Hill estimator – asymptotic versus finite sample behaviour77 cited
  • 1998Models for the extremes of Markov chains64 cited
  • 2007Operational Risk: The Sting is Still in the Tail but the Poison Depends on the Dose62 cited
  • 2000Extremal Analysis of Processes Sampled at Different Frequencies55 cited
  • 2019MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES38 cited

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