High-level dependence in time series models
From MaRDI portal
Recommendations
- Measures of serial extremal dependence and their estimation
- Heavy tailed time series with extremal independence
- Tail dependence of random variables from ARCH and heavy-tailed bilinear models
- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for \(\mathrm{GARCH}(1,1)\)
- Regularly varying multivariate time series
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 5066273 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- A characterization of multivariate regular variation.
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- A dependence measure for multivariate and spatial extreme values: Properties and inference
- A new class of models for bivariate joint tails
- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- Diagnostics for Dependence within Time Series Extremes
- Extremal behavior of regularly varying stochastic processes
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Extremes and related properties of random sequences and processes
- Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- Extremes of regularly varying Lévy-driven mixed moving average processes
- Extremes of subexponential Lévy driven moving average processes
- Heavy-Tail Phenomena
- Implicit renewal theory and tails of solutions of random equations
- Joint exceedances of the ARCH process
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- New estimators for the extremal index and other cluster characteristics
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Random difference equations and renewal theory for products of random matrices
- Regular variation of GARCH processes.
- Regularly varying functions
- Regularly varying multivariate time series
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Tail probabilities for infinite series of regularly varying random vectors
- The extremogram: a correlogram for extreme events
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Variograms for spatial max-stable random fields
Cited in
(13)- Tail dependence of random variables from ARCH and heavy-tailed bilinear models
- The realization problem for tail correlation functions
- Extremal dependence measure and extremogram: the regularly varying case
- The extremogram: a correlogram for extreme events
- A Fourier analysis of extreme events
- Max-stable processes for modeling extremes observed in space and time
- Heavy tailed time series with extremal independence
- Serial dependence in ARCH-models as measured by tail dependence coefficients
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- On the measurement and treatment of extremes in time series
- Storm processes and stochastic geometry
- Semiparametric estimation for isotropic max-stable space-time processes
This page was built for publication: High-level dependence in time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q650680)
