Pages that link to "Item:Q607175"
From MaRDI portal
The following pages link to Extremal memory of stochastic volatility with an application to tail shape inference (Q607175):
Displaying 12 items.
- A stochastic volatility model with flexible extremal dependence structure (Q282541) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- The tail empirical process for long memory stochastic volatility sequences (Q617913) (← links)
- Sequential monitoring of the tail behavior of dependent data (Q729715) (← links)
- Quantile correlation coefficient: a new tail dependence measure (Q2165833) (← links)
- Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process (Q2375847) (← links)
- Are there common values in first-price auctions? A tail-index nonparametric test (Q2439866) (← links)
- A Fourier analysis of extreme events (Q2448713) (← links)
- Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
- Extremal Dependence-Based Specification Testing of Time Series (Q6190738) (← links)
