Inference on the tail process with application to financial time series modeling (Q1644260): Difference between revisions

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+.00954
@@ Property / arXiv ID: 1604.00954 / rank @@
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+Regularly varying multivariate time series
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+Jump tails, extreme dependencies, and the distribution of stock returns
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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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+Towards estimating extremal serial dependence via the bootstrapped extremogram
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+Extreme quantile estimation for dependent data, with applications to finance
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+Limit theorems for empirical processes of cluster functionals
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+Correction to: ``Limit theorems for empirical processes of cluster functionals''
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+Statistics for tail processes of Markov chains
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+The quantilogram: with an application to evaluating directional predictability
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+The Stationary Bootstrap
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+Weak convergence and empirical processes. With applications to statistics
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@@ Property / Wikidata QID @@
+Q129882254
@@ Property / Wikidata QID: Q129882254 / rank @@
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