Pages that link to "Item:Q1644260"
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The following pages link to Inference on the tail process with application to financial time series modeling (Q1644260):
Displaying 21 items.
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (Q135348) (← links)
- Statistics for tail processes of Markov chains (Q497485) (← links)
- Towards estimating extremal serial dependence via the bootstrapped extremogram (Q528029) (← links)
- Sparse moving maxima models for tail dependence in multivariate financial time series (Q1937200) (← links)
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series (Q2027087) (← links)
- Asymptotics for sliding blocks estimators of rare events (Q2040062) (← links)
- Bootstrapping Hill estimator and tail array sums for regularly varying time series (Q2040068) (← links)
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field (Q2105071) (← links)
- Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution (Q2137752) (← links)
- Superstatistics with cut-off tails for financial time series (Q2160075) (← links)
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds (Q2198603) (← links)
- Cluster based inference for extremes of time series (Q2239252) (← links)
- Statistical inference for heavy tailed series with extremal independence (Q2303022) (← links)
- On the estimation of the heavy-tail exponent in time series using the max-spectrum (Q3103151) (← links)
- A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series (Q3571989) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (Q5880057) (← links)
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference (Q6157001) (← links)
- Statistics for heteroscedastic time series extremes (Q6178550) (← links)
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk (Q6617769) (← links)
- Stable sums to infer high return levels of multivariate rainfall time series (Q6626593) (← links)
