SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The tail empirical process for long memory stochastic volatility sequences · Study

ArticleShelves

ArticleThe tail empirical process for long memory stochastic volatility sequences

Rafał Kulik2010

OA

Articlebronze2010

The tail empirical process for long memory stochastic volatility sequences

Rafał Kulik · Philippe Soulier

40 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 40 citations exist upstream.

References

2003Theory and applications of long-range dependence 1998The detection and estimation of long memory in stochastic volatility 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues 2000Weighted approximations of tail processes for $\beta$-mixing random variables 2008Weak convergence of the tail empirical process for dependent sequences 1981The Stationary Distribution of a Stochastic Clearing Process 1998Optimal rates of convergence for estimates of the extreme value index 2001Point process convergence of stochastic volatility processes with application to sample autocorrelation

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2006Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Modelschapter · 2 shared references 2004Modelling structural breaks, long memory and stock market volatility: an overviewarticle · 2 shared references 2005Estimating Long Memory in Volatilityarticle · 2 shared references 2009Fractional Integration and Cointegration: An Overview and an Empirical Applicationchapter · 2 shared references 2009Inference for the limiting cluster size distribution of extreme valuesarticle · 2 shared references 2007Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relationarticle · 2 shared references

Details

Year2010

Typearticle

Published2010-09-18

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations40

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1016/j.spa.2010.09.001

openalex_workW1556455486

Links

Imported from OpenAlex (CC0) — nothing here is generated.