An extended sparse max-linear moving model with application to high-frequency financial data
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Publication:5880168
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Cites work
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
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- Sparse moving maxima models for tail dependence in multivariate financial time series
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Sur la distribution limite du terme maximum d'une série aléatoire
Cited in
(5)- Separating information maximum likelihood method for high-frequency financial data
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- New extreme value theory for maxima of maxima
- Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- Sparse moving maxima models for tail dependence in multivariate financial time series
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