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MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES
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MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2019)MIXED CAUSAL-NONCAUSAL AR PROCESSES AND T…Modelling Time Series Extremes (2022)Modelling Time Series ExtremesGARCH Models: Structure, Statistical Inference and Financial Applications (2019)GARCH Models: Structure, Stat…Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (2016)Adapting extreme value statis…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates (2014)Noncausal Autoregressive Mode…ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010)ON TAIL INDEX ESTIMATION FOR …GARCH Models (2010)GARCH ModelsEXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…A Double AR(p) Model: Structure and Estimation (2007)A Double AR(p) Model: Structu…Inference for Clusters of Extreme Values (2003)Inference for Clusters of Ext…Modelling Extremal Events (1997)Modelling Extremal EventsA test for independence based on the correlation dimension (1996)A test for independence based…On Exceedance Point Processes for Stationary Sequences under Mild Oscillation Restrictions (1989)On Exceedance Point Processes…On the exceedance point process for a stationary sequence (1988)On the exceedance point proce…Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…Laws of Large Numbers for Sums of Extreme Values (1982)Laws of Large Numbers for Sum…Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1 (2020)Mixed Causal–Noncausal Autore…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)On extreme values in stationary sequences (1974)Extremes and local dependence in stationary sequences (1983)On a basis for ‘Peaks over Threshold’ modeling (1991)Markov chain models for threshold exceedances (1997)Regularly varying multivariate time series (2008)Extreme Values in the GI/G/1 Queue (1972)On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation (1985)How to make a Hill plot (2000)Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Models for Exceedances Over High Thresholds (1990)From value at risk to stress testing: The extreme value approach (2000)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Estimating value-at-risk: a point process approach (2005)Extreme events: dynamics, statistics and prediction (2011)Testing for a Unit Root in Time Series Regression (1988)The Econometrics of Financial Markets (1997)Dating the timeline of financial bubbles during the subprime crisis (2011)The Econometrics of Financial Markets (2012)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Corn Cash Price Forecasting (2020)Extremal Theory for Stochastic Processes (1988)Heavy tail modeling and teletraffic data: special invited paper (1997)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)On the Modeling of Financial Time Series (2014)GARCH Modelling of Cryptocurrencies (2017)Deep learning for decision making and the optimization of socially responsible investments and portfolio (2019)Extensions of some classical methods in change point analysis (2014)Robust Econometric Inference for Stock Return Predictability (2014)Exponential GARCH Modeling With Realized Measures of Volatility (2015)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,123 cited
  • 2003Inference for Clusters of Extreme Values454 cited
  • 2019GARCH Models: Structure, Statistical Inference and Financial Applications431 cited
  • 2010GARCH Models325 cited
  • 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities301 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values278 cited
  • 1988On the exceedance point process for a stationary sequence240 cited
  • 1989On Exceedance Point Processes for Stationary Sequences under Mild Oscillation Restrictions97 cited
  • 2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA94 cited
  • 2014Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates93 cited
  • 2007A Double AR(p) Model: Structure and Estimation88 cited
  • 2022Modelling Time Series Extremes83 cited

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  • 2016Adapting extreme value statistics to financial time series: dealing with bias and serial dependence62 cited
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    • 2020Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing114 cited