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The tail process revisited
4 references·1 citing·15 second hop
The tail process revisited (2018)The tail process revisitedAn invariance principle for sums and record times of regularly varying stationary sequences (2018)An invariance principle for s…A functional limit theorem for dependent sequences with infinite variance stable limits (2012)A functional limit theorem fo…Regularly varying multivariate time series (2008)Regularly varying multivariat…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Tail measure and spectral tail process of regularly varying time series (2018)Tail measure and spectral tai…Modelling Extremal Events (1997)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Regular variation of GARCH processes (2002)Precise large deviations for dependent regularly varying sequences (2012)A large deviations approach to limit theory for heavy-tailed time series (2015)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)Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)A Spectral Representation for Max-stable Processes (1984)Calculating the extremal index for a class of stationary sequences (1991)Modelling of extremal events in insurance and finance (1994)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

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2008Regularly varying multivariate time series200 cited
  • 2012A functional limit theorem for dependent sequences with infinite variance stable limits53 cited
  • 2018An invariance principle for sums and record times of regularly varying stationary sequences38 cited

Cited by

  • 2018Tail measure and spectral tail process of regularly varying time series30 cited

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