SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Limit Theorems for Empirical Processes of Cluster Functionals
3 references·4 citing·23 second hop
Limit Theorems for Empirical Processes of Cluster Functionals (2009)Limit Theorems for Empirical Processes of…Extreme Value Theory (2006)Extreme Value TheoryWeighted approximations of tail processes for $\beta$-mixing random variables (2000)Weighted approximations of ta…Models for the extremes of Markov chains (1998)Models for the extremes of Ma…Tail Risk Inference via Expectiles in Heavy-Tailed Time Series (2022)Tail Risk Inference via Expec…A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach (2021)A Horse Race between the Bloc…Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization (2018)Extreme M-quantiles as risk m…A large deviations approach to limit theory for heavy-tailed time series (2015)A large deviations approach t…Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Tails of Probability Distributions (1987)Extreme Value Theory for GARCH Processes (2009)Statistics of Heteroscedastic Extremes (2014)Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (2016)Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)Statistics for near independence in multivariate extreme values (1996)Extremal Analysis of Processes Sampled at Different Frequencies (2000)Limit theorems for empirical processes of cluster functionals (2010)Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds (2012)Coherent Measures of Risk (1999)Extreme Value Theory : An Introduction (2006)Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models (2021)Residual Life Time at Great Age (1974)Measuring Systemic Risk (2016)Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network (2023)Copulas: A Personal View (2009)Extreme-Value Copulas (2010)Extreme events: dynamics, statistics and prediction (2011)
this work references cited by second hop

References

  • 2006Extreme Value Theory442 cited
  • 2000Weighted approximations of tail processes for $\beta$-mixing random variables97 cited
  • 1998Models for the extremes of Markov chains64 cited

Cited by

  • 2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization42 cited
  • 2015A large deviations approach to limit theory for heavy-tailed time series33 cited
  • 2021A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach33 cited
  • 2022Tail Risk Inference via Expectiles in Heavy-Tailed Time Series27 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work