Towards estimating extremal serial dependence via the bootstrapped extremogram (Q528029): Difference between revisions

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-Richard A. Davis
@@ Property / author: Richard A. Davis / rank @@
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+Regularly varying multivariate time series
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+Point process convergence of stochastic volatility processes with application to sample autocorrelation
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+The extremogram: a correlogram for extreme events
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+Probabilistic Properties of Stochastic Volatility Models
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+Extreme Value Theory for GARCH Processes
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+Extremes of Stochastic Volatility Models
@@ Property / cites work: Extremes of Stochastic Volatility Models / rank @@
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@@ Property / cites work @@
+Towards estimating extremal serial dependence via the bootstrapped extremogram
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@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
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@@ Property / cites work @@
+Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
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+The Stationary Bootstrap
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+Heavy-Tail Phenomena
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