US stock returns: are there seasons of excesses? (Q4554515): Difference between revisions

@@ Property / author @@
-Debbie J. Dupuis
@@ Property / author: Debbie J. Dupuis / rank @@
-Normal rank
@@ Property / author @@
+Debbie J. Dupuis
@@ Property / author: Debbie J. Dupuis / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+QRM
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2016.1154596
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@@ Property / OpenAlex ID @@
+W2342644189
@@ Property / OpenAlex ID: W2342644189 / rank @@
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@@ Property / cites work @@
+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Option valuation with conditional skewness
@@ Property / cites work: Option valuation with conditional skewness / rank @@
+Normal rank
@@ Property / cites work @@
+Detecting change-points in extremes
@@ Property / cites work: Detecting change-points in extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme Value Theory as a Risk Management Tool
@@ Property / cites work: Extreme Value Theory as a Risk Management Tool / rank @@
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+Inference for Clusters of Extreme Values
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+Q4335866
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+A simple general approach to inference about the tail of a distribution
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+Test for tail index change in stationary time series with Pareto-type marginal distribution
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+Extremes and local dependence in stationary sequences
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+Stationarity and the existence of moments of a family of GARCH processes.
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+Q5706744
@@ Property / cites work: Q5706744 / rank @@
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+PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
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+Statistical inference using extreme order statistics
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+Q2921614
@@ Property / cites work: Q2921614 / rank @@
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+Estimating the dimension of a model
@@ Property / cites work: Estimating the dimension of a model / rank @@
+Normal rank