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The sample autocorrelations of heavy-tailed processes with applications to ARCH
8 references·16 citing·43 second hop
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this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 1993Long Memory in Foreign-Exchange Rates359 cited
  • 1988Extremal Theory for Stochastic Processes282 cited
  • 1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes250 cited

Cited by

  • 2009The extremogram: A correlogram for extreme events218 cited
  • 2007The quantilogram: With an application to evaluating directional predictability215 cited
  • 2003Temporal aggregation of volatility models215 cited
  • 2008Regularly varying multivariate time series200 cited
  • 2002A characterization of multivariate regular variation177 cited
  • 2002Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence159 cited
  • 2012

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Fat tails, VaR and subadditivity
125 cited
  • 2000The supremum of a negative drift random walk with dependent heavy-tailed steps124 cited
  • 2012Measuring nonlinear dependence in time‐series, a distance correlation approach119 cited
  • 2011TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD116 cited
  • 2004Characterizations and Examples of Hidden Regular Variation104 cited
  • 2010International diversification: A copula approach102 cited
  • 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes92 cited
  • 2009Structural Breaks in Financial Time Series92 cited
  • 2000A model for long memory conditional heteroscedasticity91 cited
  • 2000Diagnosing and treating the fat tails in financial returns data79 cited