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Heavy tailed time series with extremal independence · Study

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ArticleHeavy tailed time series with extremal independence

Rafał Kulik2015

OA

Articlegreen2015

Heavy tailed time series with extremal independence

Rafał Kulik · Philippe Soulier

41 citations·0/0 files stored·Extremes

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Probability and Risk Models Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1999Coherent Measures of Risk 1987Extreme Values, Regular Variation and Point Processes 2008Regularly varying multivariate time series 2002Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence 2005Limit Laws for Random Vectors with an Extreme Component 2007Limit laws for random vectors with an extreme component 2002Asymptotic independence and a network traffic model 2011Conditioning on an extreme component: Model consistency with regular variation on cones

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2017Representations of max-stable processes via exponential tilting 2017Polar decomposition of regularly varying time series in star-shaped metric spaces 2015Statistics for tail processes of Markov chains 2016A stochastic volatility model with flexible extremal dependence structure

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Year2015

Typearticle

Published2015-02-05

VenueExtremes

ISSN-L1386-1999

Languageen

Citations41

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10687-014-0213-x

openalex_workW2091968258

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