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ArticleStatistics for tail processes of Markov chains

Holger Drees2015

OA

Articlegreen2015

Statistics for tail processes of Markov chains

Holger Drees · Johan Segers

27 citations·0/0 files stored·Extremes

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Probability and Risk Models Probability and Statistical Research Financial Risk and Volatility Modeling

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References

1985Does the Stock Market Overreact?2007The t Copula and Related Copulas 1996Statistics for near independence in multivariate extreme values 1989A Moment Estimator for the Index of an Extreme-Value Distribution 1987Estimating Tails of Probability Distributions 1988Bivariate Extreme Value Theory: Models and Estimation 2005Estimation of copula-based semiparametric time series models 1983Extremes and local dependence in stationary sequences

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2018Inference on the tail process with application to financial time series modeling

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Year2015

Typearticle

Published2015-03-20

VenueExtremes

ISSN-L1386-1999

Languageen

Citations27

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10687-015-0217-1

openalex_workW2011187566

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