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Towards estimating extremal serial dependence via the bootstrapped extremogram
10 references·8 citing·33 second hop
Towards estimating extremal serial dependence via the bootstrapped extremogram (2012)Towards estimating extremal serial depend…Quantitative Risk Management (2011)Quantitative Risk ManagementHandbook of Financial Time Series (2010)Handbook of Financial Time Se…The extremogram: A correlogram for extreme events (2009)The extremogram: A correlogra…Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (2009)Stationarity, Mixing, Distrib…Regularly varying multivariate time series (2008)Regularly varying multivariat…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Modelling Extremal Events (1997)Modelling Extremal EventsModelling of extremal events in insurance and finance (1994)Modelling of extremal events …Forecasting extreme financial risk: A score-driven approach (2022)Forecasting extreme financial…Multivariate dynamic intensity peaks‐over‐threshold models (2019)Multivariate dynamic intensit…Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization (2018)Extreme M-quantiles as risk m…The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis (2017)The intraday directional pred…Point process models for extreme returns: Harnessing implied volatility (2017)Point process models for extr…Can Volatility Models Explain Extreme Events?* (2017)Can Volatility Models Explain…Statistical Inference for Max-Stable Processes in Space and Time (2013)Statistical Inference for Max…Measures of serial extremal dependence and their estimation (2013)Measures of serial extremal d…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Extreme Value Theory for GARCH Processes (2009)Stationarity and geometric ergodicity of BEKK multivariate GARCH models (2011)ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Top Incomes in the Long Run of History (2011)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Selecting and estimating regular vine copulae and application to financial returns (2012)Extreme Value Theory : An Introduction (2006)Jump tails, extreme dependencies, and the distribution of stock returns (2012)Local Gaussian correlation: A new measure of dependence (2012)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Max-Stable Models for Multivariate Extremes (2012)Heavy-Tailed Time Series (2020)Higher-dimensional spatial extremes via single-site conditioning (2022)Quantiles as optimal point forecasts (2010)Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015)Dynamic connectedness between oil prices and stock returns of clean energy and technology companies (2020)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Extreme events: dynamics, statistics and prediction (2011)Statistical Modeling of Spatial Extremes (2012)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2011Quantitative Risk Management985 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2010Handbook of Financial Time Series234 cited
  • 2009The extremogram: A correlogram for extreme events218 cited
  • 2008Regularly varying multivariate time series200 cited
  • 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes92 cited

Cited by

  • 2013Statistical Inference for Max-Stable Processes in Space and Time76 cited
  • 2013Measures of serial extremal dependence and their estimation58 cited
  • 2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization42 cited
  • 2017Point process models for extreme returns: Harnessing implied volatility31 cited
  • 2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis27 cited

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  • 2017Can Volatility Models Explain Extreme Events?*23 cited
  • 2022Forecasting extreme financial risk: A score-driven approach21 cited
  • 2019Multivariate dynamic intensity peaks‐over‐threshold models18 cited