On the measurement and treatment of extremes in time series (Q508717): Difference between revisions

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+Robust score and portmanteau tests of volatility spillover
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+Periodic moving averages of random variables with regularly varying tails
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+Regular variation of GARCH processes.
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+Statistics of Extremes
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+ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
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+Jump tails, extreme dependencies, and the distribution of stock returns
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+Using a bootstrap method to choose the sample fraction in tail index estimation
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+Data network models of burstiness
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+The extremogram: a correlogram for extreme events
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+Towards estimating extremal serial dependence via the bootstrapped extremogram
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+Measures of serial extremal dependence and their estimation
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+Geostatistics of dependent and asymptotically independent extremes
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+Spatial extremes: models for the stationary case
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+Some aspects of extreme value statistics under serial dependence
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+Selecting the optimal sample fraction in univariate extreme value estimation
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+An <i>M</i>-Estimator of Spatial Tail Dependence
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+The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
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+High-level dependence in time series models
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+Quantifying Extreme Risks
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+Inference for Clusters of Extreme Values
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+An application of extreme value theory for measuring financial risk
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+Extreme Value Theory and Statistics of Univariate Extremes: A Review
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+Subsampling techniques and the jackknife methodology in the estimation of the extremal index
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+Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models
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+A simple general approach to inference about the tail of a distribution
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+On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
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+ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
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+TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS
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+Extremal memory of stochastic volatility with an application to tail shape inference
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+Moment condition tests for heavy tailed time series
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+Robust estimation and inference for heavy tailed GARCH
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+Are there common values in first-price auctions? A tail-index nonparametric test
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+Tail exponent estimation via broadband log density-quantile regression
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+Sample autocovariances of long-memory time series
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+Estimating the parameters of rare events
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+On tail index estimation using dependent data
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+Extremal index estimation for a weakly dependent stationary sequence
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+On the exceedance point process for a stationary sequence
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+Space–Time Modelling of Extreme Events
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+Subsampling inference for the mean of heavy-tailed long-memory time series
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+Extremes of space-time Gaussian processes
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+Stationary max-stable fields associated to negative definite functions
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+Random difference equations and renewal theory for products of random matrices
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+$\ell_1$ Trend Filtering
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+Parameter estimation for infinite variance fractional ARIMA
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+Discrete time parametric models with long memory and infinite variance
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+The tail empirical process for long memory stochastic volatility sequences
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+Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
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+Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
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+Heavy tailed time series with extremal independence
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+Resampling methods for dependent data
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+Extremal dependence measure and extremogram: the regularly varying case
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+On extreme values in stationary sequences
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+Extremes and local dependence in stationary sequences
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+Extremes and related properties of random sequences and processes
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+Extremal theory for stochastic processes
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+Diagnostics for Dependence within Time Series Extremes
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+ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
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+Extreme Values in Uniformly Mixing Stationary Stochastic Processes
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+Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
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+Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
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+Modeling clusters of extreme values
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+Influence functionals for time series (with discussion)
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+Exact formulas for the Hodrick-Prescott filter
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+Tail index estimation in the presence of long-memory dynamics
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+Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series
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+Tail index estimation with a fixed tuning parameter fraction
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+ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL  CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
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+Stable marked point processes
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+Moment-based tail index estimation
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+A simple robust estimation method for the thickness of heavy tails
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+Sample Cross-correlations for Moving Averages with Regularly Varying Tails
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+A Fourier analysis of extreme events
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+The integrated periodogram of a dependent extremal event sequence
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+On the multivariate extremal index
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+A new approach on estimation of the tail index
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+Subsampling
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+Q4345873
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+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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+The Extremal Dependence Measure and Asymptotic Independence
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+Heavy-Tail Phenomena
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+Tail index estimation for dependent data
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+A sliding blocks estimator for the extremal index
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+Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities
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+Inference for the limiting cluster size distribution of extreme values
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+Extremes of moving averages of stable processes
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+Weak convergence of the tail empirical process for dependent sequences
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+Long Memory in Integrated and Realized Variance
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+Models for stationary max-stable random fields
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+Bivariate extreme statistics. I
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+Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
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+Markov chain models for threshold exceedances
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+Simon Newcomb, Percy Daniell, and the History of Robust Estimation 1885-1920
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+Estimating Heavy-Tail Exponents Through Max Self–Similarity
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+Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
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+Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
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