References

No references inside the corpus for this window.

Cited by

• 2011Extreme events: dynamics, statistics and prediction267 cited
• 1990The tail index of exchange rate returns252 cited
• 1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes250 cited
• 1999Multivariate extremes for models with constant conditional correlations164 cited
• 2003Testing for differences in the tails of stock-market returns164 cited
• 2003Realized volatility in the futures markets133 cited
• 2015Uniform change point tests in high dimension132 cited
• 2006Cyclicality in catastrophic and operational risk measurements118 cited
• 2007Continuous cascade models for asset returns100 cited
• 2004Extremes of Gaussian processes over an infinite horizon86 cited
• 1992Differences between foreign exchange rate regimes: The view from the tails82 cited
• 1998On blocks and runs estimators of the extremal index78 cited
• 2007Extreme value theory for space–time processes with heavy-tailed distributions75 cited
• 1991Estimating the parameters of rare events75 cited
• 2005Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance