High-level dependence in time series models (Q650680): Difference between revisions

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+https://doi.org/10.1007/s10687-009-0084-8
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+Q102130215
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+A characterization of multivariate regular variation.
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+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
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+Regularly varying multivariate time series
@@ Property / cites work: Regularly varying multivariate time series / rank @@
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+Q4726487
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+Extremal behavior of the autoregressive process with ARCH(1) errors
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+Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
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+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
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+Stationarity of GARCH processes and of some nonnegative time series
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+Strict stationarity of generalized autoregressive processes
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+Q5525727
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+Point process and partial sum convergence for weakly dependent random variables with infinite variance
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+The extremogram: a correlogram for extreme events
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+Limit theory for moving averages of random variables with regularly varying tail probabilities
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+Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
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+Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
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+Q4343010
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+Extremes of regularly varying Lévy-driven mixed moving average processes
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+Extremes of subexponential Lévy driven moving average processes
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+Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
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+Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
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+Implicit renewal theory and tails of solutions of random equations
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+Joint exceedances of the ARCH process
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+Extremal behavior of regularly varying stochastic processes
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+Tail probabilities for infinite series of regularly varying random vectors
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+Regularly varying functions
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+Random difference equations and renewal theory for products of random matrices
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+Q5493557
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+New estimators for the extremal index and other cluster characteristics
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+Extremes and related properties of random sequences and processes
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+Diagnostics for Dependence within Time Series Extremes
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Variograms for spatial max-stable random fields
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+A New Class of Models for Bivariate Joint Tails
@@ Property / cites work: A New Class of Models for Bivariate Joint Tails / rank @@
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+Q3771297
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+Heavy-Tail Phenomena
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+Q4937701
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+A dependence measure for multivariate and spatial extreme values: Properties and inference
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+Publication:650680