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Heavy tailed time series with extremal independence
10 references·4 citing·38 second hop
Heavy tailed time series with extremal independence (2015)Heavy tailed time series with extremal in…Conditioning on an extreme component: Model consistency with regular variation on cones (2011)Conditioning on an extreme co…Regularly varying multivariate time series (2008)Regularly varying multivariat…Limit laws for random vectors with an extreme component (2007)Limit laws for random vectors…STOCHASTIC UNIT ROOT MODELS (2006)STOCHASTIC UNIT ROOT MODELSLimit Laws for Random Vectors with an Extreme Component (2005)Limit Laws for Random Vectors…Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Hidden Regular Variation, Sec…Asymptotic independence and a network traffic model (2002)Asymptotic independence and a…Point process convergence of stochastic volatility processes with application to sample autocorrelation (2001)Point process convergence of …Coherent Measures of Risk (1999)Coherent Measures of RiskExtreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Representations of max-stable processes via exponential tilting (2017)Representations of max-stable…Polar decomposition of regularly varying time series in star-shaped metric spaces (2017)Polar decomposition of regula…A stochastic volatility model with flexible extremal dependence structure (2016)A stochastic volatility model…Statistics for tail processes of Markov chains (2015)Statistics for tail processes…Statistics for near independence in multivariate extreme values (1996)Dependence Measures for Extreme Value Analyses (1999)Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009)Tails of multivariate Archimedean copulas (2009)Heavy tail modeling and teletraffic data: special invited paper (1997)Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Hidden regular variation and the rank transform (2005)Precise large deviations of aggregate claims in a size-dependent renewal risk model (2012)Modelling Extremal Events (1997)Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Max-Stable Models for Multivariate Extremes (2012)Heavy-Tailed Time Series (2020)Higher-dimensional spatial extremes via single-site conditioning (2022)An Overview of Value at Risk (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)An Introduction to Statistical Modeling of Extreme Values (2001)Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model (2012)Efficient inference for spatial extreme value processes associated to log-Gaussian random functions (2013)Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Simple (but effective) tests of long memory versus structural breaks (2006)The ACR Model: A Multivariate Dynamic Mixture Autoregression* (2008)Modelling Nonlinear Economic Time Series (2010)Modelling of extremal events in insurance and finance (1994)Extremes of Stochastic Volatility Models (2009)Precise large deviations for dependent regularly varying sequences (2012)Risk Measures and Multivariate Extensions of Breiman's Theorem (2012)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Extreme Value Theory : An Introduction (2006)Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation (2013)Extreme Value Analysis for Financial Risk Management (2021)Linking representations for multivariate extremes via a limit set (2022)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2008Regularly varying multivariate time series200 cited
  • 2002Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence159 cited
  • 2005Limit Laws for Random Vectors with an Extreme Component116 cited
  • 2007Limit laws for random vectors with an extreme component114 cited
  • 2002Asymptotic independence and a network traffic model79 cited
  • 2011Conditioning on an extreme component: Model consistency with regular variation on cones51 cited
  • 2006STOCHASTIC UNIT ROOT MODELS50 cited
  • 2001Point process convergence of stochastic volatility processes with application to sample autocorrelation41 cited

Cited by

  • 2017Representations of max-stable processes via exponential tilting31 cited
  • 2017Polar decomposition of regularly varying time series in star-shaped metric spaces28 cited
  • 2015Statistics for tail processes of Markov chains27 cited
  • 2016A stochastic volatility model with flexible extremal dependence structure18 cited

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