Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (Q5880057): Difference between revisions

Latest revision as of 16:04, 31 July 2024

scientific article; zbMATH DE number 7660248

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English	Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’	scientific article; zbMATH DE number 7660248

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instance of

scholarly article

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title

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (English)

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published in

Statistical Theory and Related Fields

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publication date

7 March 2023

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/24754269.2020.1862587

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cites work

Extremal quantile regression

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Inference on the tail process with application to financial time series modeling

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The extremogram: a correlogram for extreme events

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Basic properties and prediction of max-ARMA processes

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Limit theorems for empirical processes of cluster functionals

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Moving-maximum models for extrema of time series

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A structural break test for extremal dependence in β-mixing random vectors

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A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION

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Bivariate extreme statistics. I

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Sparse moving maxima models for tail dependence in multivariate financial time series

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The estimation of M4 processes with geometric moving patterns

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Quotient correlation: a sample based alternative to Pearson's correlation

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Random threshold driven tail dependence measures with application to precipitation data analysis

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Identifiers

DOI

10.1080/24754269.2020.1862587

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5880057

@@ Property / cites work @@
+Extremal quantile regression
@@ Property / cites work: Extremal quantile regression / rank @@
+Normal rank
@@ Property / cites work @@
+Inference on the tail process with application to financial time series modeling
+Normal rank
@@ 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 @@
+Basic properties and prediction of max-ARMA processes
+Normal rank
@@ Property / cites work @@
+Limit theorems for empirical processes of cluster functionals
+Normal rank
@@ Property / cites work @@
+Moving-maximum models for extrema of time series
@@ Property / cites work: Moving-maximum models for extrema of time series / rank @@
+Normal rank
@@ Property / cites work @@
+A structural break test for extremal dependence in β-mixing random vectors
+Normal rank
@@ Property / cites work @@
+A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
+Normal rank
@@ Property / cites work @@
+Bivariate extreme statistics. I
@@ Property / cites work: Bivariate extreme statistics. I / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse moving maxima models for tail dependence in multivariate financial time series
+Normal rank
@@ Property / cites work @@
+The estimation of M4 processes with geometric moving patterns
+Normal rank
@@ Property / cites work @@
+Quotient correlation: a sample based alternative to Pearson's correlation
+Normal rank
@@ Property / cites work @@
+Random threshold driven tail dependence measures with application to precipitation data analysis
+Normal rank