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

@@ Property / author @@
-Richard A. Davis
@@ Property / author: Richard A. Davis / rank @@
-Normal rank
@@ Property / author @@
+Richard A. Davis
@@ Property / author: Richard A. Davis / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G15
@@ Property / Mathematics Subject Classification ID: 62G15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G32
@@ Property / Mathematics Subject Classification ID: 62G32 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6714749
@@ Property / zbMATH DE Number: 6714749 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+extremogram
@@ Property / zbMATH Keywords: extremogram / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+extremal dependence
@@ Property / zbMATH Keywords: extremal dependence / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stationary bootstrap
@@ Property / zbMATH Keywords: stationary bootstrap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+financial time series
@@ Property / zbMATH Keywords: financial time series / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2052450848
@@ Property / OpenAlex ID: W2052450848 / rank @@
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@@ Property / cites work @@
+Regularly varying multivariate time series
@@ Property / cites work: Regularly varying multivariate time series / rank @@
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@@ Property / cites work @@
+Point process convergence of stochastic volatility processes with application to sample autocorrelation
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@@ Property / cites work @@
+The extremogram: a correlogram for extreme events
@@ Property / cites work: The extremogram: a correlogram for extreme events / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic Properties of Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Extreme Value Theory for GARCH Processes
@@ Property / cites work: Extreme Value Theory for GARCH Processes / rank @@
+Normal rank
@@ Property / cites work @@
+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
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+About the Lindeberg method for strongly mixing sequences
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:528029