Extremal memory of stochastic volatility with an application to tail shape inference
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Cited in
(12)- Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
- Tail and nontail memory with applications to extreme value and robust statistics
- A stochastic volatility model with flexible extremal dependence structure
- Least tail-trimmed squares for infinite variance autoregressions
- The tail empirical process for long memory stochastic volatility sequences
- Are there common values in first-price auctions? A tail-index nonparametric test
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