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The effect of long-term correlations on the return periods of rare events
10 references·3 citing·34 second hop
The effect of long-term correlations on the return periods of rare events (2003)The effect of long-term correlations on t…Power-law persistence and trends in the atmosphere: A detailed study of long temperature records (2003)Power-law persistence and tre…Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods (2003)Multifractality of river runo…Long-term persistence in the sea surface temperature fluctuations (2003)Long-term persistence in the …Indication of a Universal Persistence Law Governing Atmospheric Variability (1998)Indication of a Universal Per…Correlations in economic time series (1997)Correlations in economic time…Analysis of daily temperature fluctuations (1996)Analysis of daily temperature…Extreme Value Theory and Applications (1995)Extreme Value Theory and Appl…Extreme Value Theory and Applications (1994)Extreme Value Theory and Appl…Some long‐run properties of geophysical records (1969)Some long‐run properties of g…Long-Term Storage: An Experimental Study. (1966)Long-Term Storage: An Experim…The effect of long-range dependence on modelling extremes with the generalised extreme value distribution (2009)The effect of long-range depe…Extreme value statistics in records with long-term persistence (2006)Extreme value statistics in r…Power-law persistence in the atmosphere and in the oceans (2002)Power-law persistence in the …Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Detecting long-range correlations of traffic time series with multifractal detrended fluctuation analysis (2006)Fractal analysis of river flow fluctuations (2007)Quantitative features of multifractal subtleties in time series (2009)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Statistics of return intervals in long-term correlated records (2007)Strong anticipation: Multifractal cascade dynamics modulate scaling in synchronization behaviors (2011)Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)The Asymptotic Theory of Extreme Order Statistics (1990)Modelling Extremal Events (1997)Fractional Brownian Motions, Fractional Noises and Applications (1968)Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)Fractal characterization of complexity in temporal physiological signals (2002)Fractal Physiology (1994)Long memory in surface air temperature: detection, modeling, and application to weather derivative valuation (2002)Quantifying fractal dynamics of groundwater systems with detrended fluctuation analysis (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Volatility distribution in the S&P500 stock index (1997)Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes (2000)Time-lag cross-correlations in collective phenomena (2010)Estimating long range dependence: finite sample properties and confidence intervals (2001)Stochastic Models That Separate Fractal Dimension and the Hurst Effect (2004)Long‐term persistence and multifractality of precipitation and river runoff records (2006)Extreme observations and diversification in Latin American emerging equity markets (2001)Return intervals of rare events in records with long-term persistence (2004)Contagion risk in the Australian banking and property sectors (2010)Detrended fluctuation analysis of daily temperature records: Geographic dependence over Australia (2004)Correlation properties of daily temperature anomalies over land (2006)Effect of extreme data loss on long-range correlated and anticorrelated signals quantified by detrended fluctuation analysis (2010)
this work references cited by second hop

References

  • 1969Some long‐run properties of geophysical records991 cited
  • 1966Long-Term Storage: An Experimental Study.766 cited
  • 1998Indication of a Universal Persistence Law Governing Atmospheric Variability659 cited
  • 1997Correlations in economic time series313 cited
  • 2003Power-law persistence and trends in the atmosphere: A detailed study of long temperature records235 cited
  • 2003Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods226 cited
  • 2003Long-term persistence in the sea surface temperature fluctuations141 cited
  • 1995Extreme Value Theory and Applications125 cited
  • 1996Analysis of daily temperature fluctuations125 cited
  • 1994Extreme Value Theory and Applications62 cited

Cited by

  • 2006Extreme value statistics in records with long-term persistence102 cited
  • 2002Power-law persistence in the atmosphere and in the oceans59 cited
  • 2009The effect of long-range dependence on modelling extremes with the generalised extreme value distribution33 cited

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