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Subsampling the mean of heavy‐tailed dependent observations
7 references·0 citing·28 second hop
Subsampling the mean of heavy‐tailed dependent observations (2004)Subsampling the mean of heavy‐tailed depe…ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE (2003)ESTIMATION OF THE MAXIMAL MOM…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …A characterization of multivariate regular variation (2002)A characterization of multiva…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)The sample autocorrelations o…Modelling the persistence of conditional variances (1986)Modelling the persistence of …ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Modelling Nonlinear Economic Time Series (2010)Extreme Values, Regular Variation and Point Processes (1987)Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Limit Laws for Random Vectors with an Extreme Component (2005)Fat tails, VaR and subadditivity (2012)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)“Options, Futures, and Other Derivatives” (2016)A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)Temporal aggregation of volatility models (2003)Modelling Financial Time Series (2007)The quantilogram: With an application to evaluating directional predictability (2007)The extremogram: A correlogram for extreme events (2009)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Estimation of multivariate models for time series of possibly different lengths (2006)Copula–Based Models for Financial Time Series (2009)Copulas: Tales and facts (2006)Statistical inference for time-varying ARCH processes (2006)
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References

  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process414 cited
  • 2002Regular variation of GARCH processes359 cited
  • 1998The sample autocorrelations of heavy-tailed processes with applications to ARCH225 cited
  • 2002A characterization of multivariate regular variation177 cited
  • 2003ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE30 cited

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