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Statistics for tail processes of Markov chains
16 references·1 citing·42 second hop
Statistics for tail processes of Markov chains (2015)Statistics for tail processes of Markov c…Extreme-Value Copulas (2010)Extreme-Value CopulasThe extremogram: A correlogram for extreme events (2009)The extremogram: A correlogra…Regularly varying multivariate time series (2008)Regularly varying multivariat…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Estimation of copula-based semiparametric time series models (2005)Estimation of copula-based se…Diagnostics for Dependence within Time Series Extremes (2003)Diagnostics for Dependence wi…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…Short-run overreaction in the New Zealand stock market (1998)Short-run overreaction in the…On Smooth Statistical Tail Functionals (1998)On Smooth Statistical Tail Fu…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…The extremal index for a Markov chain (1992)The extremal index for a Mark…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Extremes and local dependence in stationary sequences (1983)Extremes and local dependence…Inference on the tail process with application to financial time series modeling (2018)Inference on the tail process…Extreme Values in Uniformly Mixing Stationary Stochastic Processes (1965)On extreme values in stationary sequences (1974)Extremes of Moving Averages of Stable Processes (1978)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Inference for Clusters of Extreme Values (2003)Limit theory for multivariate sample extremes (1977)Probabilistic Aspects of Multivariate Extremes (1984)The Asymptotic Theory of Extreme Order Statistics (1990)Understanding Relationships Using Copulas (1998)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)On Some Simple Estimates of an Exponent of Regular Variation (1982)Kernel Estimates of the Tail Index of a Distribution (1985)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)Dependence Measures for Extreme Value Analyses (1999)Tails of multivariate Archimedean copulas (2009)Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Copulas: Tales and facts (2006)Statistical inference for time-varying ARCH processes (2006)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)An Introduction to Copulas (1999)CAViaR (2004)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Copula–Based Models for Financial Time Series (2009)A review of copula models for economic time series (2012)Modelling Extremal Events (1997)Pair-copula constructions of multiple dependence (2007)Selecting and estimating regular vine copulae and application to financial returns (2012)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme Correlation of International Equity Markets (2001)Extremal Dependence Concepts (2015)A review of quantification methodologies for multi-hazard interrelationships (2019)Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)
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References

  • 1985Does the Stock Market Overreact?7,756 cited
  • 2007The t Copula and Related Copulas974 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1987Estimating Tails of Probability Distributions627 cited
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  • 1983Extremes and local dependence in stationary sequences411 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2010Extreme-Value Copulas229 cited
  • 2009The extremogram: A correlogram for extreme events218 cited
  • 2008Regularly varying multivariate time series200 cited
  • 1998On Smooth Statistical Tail Functionals145 cited
  • 2003Diagnostics for Dependence within Time Series Extremes140 cited
  • 1992The extremal index for a Markov chain115 cited
  • 1998Short-run overreaction in the New Zealand stock market89 cited

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  • 2018Inference on the tail process with application to financial time series modeling24 cited