Diagnostics for Dependence within Time Series Extremes
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Cites work
- A directory of coefficients of tail dependence
- Concomitant tail behaviour for extremes
- Extremes and related properties of random sequences and processes
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- On the characterization of certain point processes
- Using a bootstrap method to choose the sample fraction in tail index estimation
Cited in
(53)- Some aspects of extreme value statistics under serial dependence
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- Extremal financial risk models and portfolio evaluation
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Diagnostic check for heavy tail in linear time series
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Extremal dependence measure for functional data
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Ground-level ozone: evidence of increasing serial dependence in the extremes
- A Fourier analysis of extreme events
- Seasonal effects of extreme surges
- A stochastic volatility model with flexible extremal dependence structure
- Extreme residual dependence for random vectors and processes
- Copula structured M4 processes with application to high-frequency financial data
- The Extremal Dependence Measure and Asymptotic Independence
- Latent process modelling of threshold exceedances in hourly rainfall series
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
- scientific article; zbMATH DE number 1165684 (Why is no real title available?)
- Functionals of clusters of extremes
- Portfolio risk assessment using multivariate extreme value methods
- Statistics for tail processes of Markov chains
- Geostatistics of dependent and asymptotically independent extremes
- Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
- On the measurement and treatment of extremes in time series
- Bayesian uncertainty management in temporal dependence of extremes
- Tail and nontail memory with applications to extreme value and robust statistics
- Extreme events of Markov chains
- scientific article; zbMATH DE number 6739318 (Why is no real title available?)
- Geostatistics of extremes
- A Mixture Model for Multivariate Extremes
- On maxima of chi-processes over threshold dependent grids
- Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
- Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
- An extended sparse max-linear moving model with application to high-frequency financial data
- Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
- The extremogram: a correlogram for extreme events
- Extremal memory of stochastic volatility with an application to tail shape inference
- Accounting for seasonality in extreme sea-level estimation
- A modeler's guide to extreme value software
- Asymptotics of sum of heavy-tailed risks with copulas
- High-level dependence in time series models
- Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
- Extremal properties of max-autoregressive moving average processes for modelling extreme river flows
- On the dependence of a minimum autoregressive exponential-type process
- Extremal correlation coefficient for functional data
- A conditional tail expectation type risk measure for time series
- Tail dependence between order statistics
- Extremal clustering in non-stationary random sequences
- Extremal dependence measure and extremogram: the regularly varying case
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- Parametric tail copula estimation and model testing
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
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