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Tail and Quantile Estimation for Strongly Mixing Stationary Sequences
3 references·1 citing·21 second hop
Tail and Quantile Estimation for Strongly Mixing Stationary Sequences (1990)Tail and Quantile Estimation for Strongly…Homogeneous chaos, 𝑝-forms, scaling and the Feynman integral (1993)Homogeneous chaos, 𝑝-forms, …On a Basis for 'Peaks Over Threshold' Modeling (1990)On a Basis for 'Peaks Over Th…Kernel Estimates of the Tail Index of a Distribution (1985)Kernel Estimates of the Tail …On the distribution of tail array sums for strongly mixing stationary sequences (1998)On the distribution of tail a…Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)On a basis for ‘Peaks over Threshold’ modeling (1991)On Tail Index Estimation Using Dependent Data (1991)The distributions of cluster functionals of extreme events in a dth-order Markov chain (2000)Functionals of clusters of extremes (2003)On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns (2005)Multiple Wiener Integral (1951)On a Generalization of a Stochastic Integral (1976)Notes on the Feynman integral. I (1981)Chaos decomposition of multiple fractional integrals and applications (1999)Multiple fractional integral with Hurst parameter less than 1 2 (2005)Wick calculus for nonlinear Gaussian functionals (2009)On Some Simple Estimates of an Exponent of Regular Variation (1982)The variation of certain speculative prices (1997)Selecting the optimal sample fraction in univariate extreme value estimation (1998)Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Tail Index Estimation and an Exponential Regression Model (1999)Threshold Methods for Sample Extremes (1984)Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam (2012)Extreme-quantile tracking for financial time series (2014)An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates (2015)
this work references cited by second hop

References

  • 1985Kernel Estimates of the Tail Index of a Distribution283 cited
  • 1990On a Basis for 'Peaks Over Threshold' Modeling133 cited
  • 1993Homogeneous chaos, 𝑝-forms, scaling and the Feynman integral38 cited

Cited by

  • 1998On the distribution of tail array sums for strongly mixing stationary sequences42 cited

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