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The effect of long-range dependence on modelling extremes with the generalised extreme value distribution
11 references·0 citing·33 second hop
The effect of long-range dependence on modelling extremes with the generalised extreme value distribution (2009)The effect of long-range dependence on mo…Recurrence time analysis, long-term correlations, and extreme events (2005)Recurrence time analysis, lon…Tempting long-memory - on the interpretation of DFA results (2004)Tempting long-memory - on the…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Statistics of Extremes (2004)Statistics of ExtremesTime series with long memory (2003)Time series with long memoryTime Series With Long Memory (2003)Time Series With Long MemoryThe effect of long-term correlations on the return periods of rare events (2003)The effect of long-term corre…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Modelling Extremal Events (1997)Modelling Extremal EventsStatistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control. (1978)Statistics of return intervals in long-term correlated records (2007)Return interval distribution of extreme events and long-term memory (2008)Fractal and Multifractal Time Series (2011)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Differencing (1981)Statistics for Long-Memory Processes. (1996)Multifractal detrended fluctuation analysis of streamflow series of the Yangtze River basin, China (2008)Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)Multifractal analysis of meteorological time series to assess climate impacts (2015)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Power Laws in Economics and Finance (2009)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Simultaneous estimation of the parameters of the Hurst–Kolmogorov stochastic process (2010)Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016 (2017)Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity (2018)Estimation of fractional integration in the presence of data noise (2006)A simple test of changes in mean in the possible presence of long-range dependence (2011)
this work references cited by second hop

References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2004Statistics of Extremes1,204 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 2003Time Series With Long Memory230 cited
  • 2003Time series with long memory219 cited
  • 2004Tempting long-memory - on the interpretation of DFA results190 cited
  • 2005Recurrence time analysis, long-term correlations, and extreme events177 cited
  • 2003The effect of long-term correlations on the return periods of rare events103 cited

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