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Extremal Index Estimation for a Weakly Dependent Stationary Sequence
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Extremal Index Estimation for a Weakly Dependent Stationary Sequence (1993)Extremal Index Estimation for a Weakly De…TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (2011)TAIL AND NONTAIL MEMORY WITH …ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010)ON TAIL INDEX ESTIMATION FOR …Inference for the limiting cluster size distribution of extreme values (2009)Inference for the limiting cl…A sliding blocks estimator for the extremal index (2009)A sliding blocks estimator fo…Asymptotically (in)dependent multivariate maxima of moving maxima processes (2007)Asymptotically (in)dependent …New Estimators for the Extremal Index and Other Cluster Characteristics (2003)New Estimators for the Extrem…A Comparison of Methods for Estimating the Extremal Index (2000)A Comparison of Methods for E…On the distribution of tail array sums for strongly mixing stationary sequences (1998)On the distribution of tail a…On blocks and runs estimators of the extremal index (1998)On blocks and runs estimators…Extremes and local dependence in stationary sequences (1983)Statistics for near independence in multivariate extreme values (1996)Modelling Dependence within Joint Tail Regions (1997)Estimating return levels from serially dependent extremes (2012)Modelling Time Series Extremes (2022)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)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)Modelling Extremal Events (1997)Inference for Clusters of Extreme Values (2003)An efficient semiparametric maxima estimator of the extremal index (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)Extremes and related properties of random sequences and processes (1984)Extremal Theory for Stochastic Processes (1988)Measuring and Testing the Impact of News on Volatility (1993)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Long memory and tail dependence in trading volume and volatility (2013)Asymmetry in tail dependence in equity portfolios (2015)MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2019)Recursive Evaluation of a Family of Compound Distributions (1981)Measures of serial extremal dependence and their estimation (2013)
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Cited by

  • 2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA94 cited
  • 2000A Comparison of Methods for Estimating the Extremal Index92 cited
  • 1998On blocks and runs estimators of the extremal index78 cited
  • 2009Inference for the limiting cluster size distribution of extreme values58 cited
  • 2009A sliding blocks estimator for the extremal index52 cited
  • 2003New Estimators for the Extremal Index and Other Cluster Characteristics45 cited
  • 1998On the distribution of tail array sums for strongly mixing stationary sequences42 cited
  • 2007Asymptotically (in)dependent multivariate maxima of moving maxima processes41 cited
  • 2011TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS24 cited

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