Measures of serial extremal dependence and their estimation

25 March 2013

Papers citing "Measures of serial extremal dependence and their estimation"

14 / 14 papers shown

Title
The integrated copula spectrum Yuichi Goto Tobias Kley Ria Van Hecke S. Volgushev Holger Dette Marc Hallin 60 2 0 14 Dec 2021
Ordinal Patterns in Clusters of Subsequent Extremes of Regularly Varying Time Series M. Oesting Alexander Schnurr 44 4 0 04 Feb 2019
Componentwise different tail solutions for bivariate stochastic recurrence equations -- with application to GARCH(1,1) processes -- E. Damek Muneya Matsui Witold 'Swikatkowski 56 12 0 19 Jun 2017
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes S. Buhl Claudia Klüppelberg 42 5 0 19 Apr 2017
Fourier analysis of serial dependence measures Ria Van Hecke S. Volgushev Holger Dette 48 5 0 13 Mar 2017
On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities Stefan Birr Holger Dette Marc Hallin Tobias Kley S. Volgushev 71 2 0 22 Nov 2016
Semiparametric estimation for isotropic max-stable space-time processes S. Buhl Richard A. Davis Claudia Klüppelberg C. Steinkohl 60 19 0 16 Sep 2016
A large deviations approach to limit theory for heavy-tailed time series T. Mikosch Olivier Wintenberger 64 36 0 01 Sep 2015
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process Muneya Matsui T. Mikosch 51 15 0 20 May 2015
The integrated periodogram of a dependent extremal event sequence T. Mikosch Yuwei Zhao 79 11 0 13 Mar 2015
Quantile Spectral Analysis for Locally Stationary Time Series Stefan Birr S. Volgushev Tobias Kley Holger Dette Marc Hallin 191 40 0 17 Apr 2014
A Fourier analysis of extreme events T. Mikosch Yuwei Zhao 107 15 0 12 Mar 2014
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series Heejoon Han O. Linton Tatsushi Oka Yoon-Jae Whang 130 424 0 09 Feb 2014
Quantile spectral processes: Asymptotic analysis and inference Tobias Kley S. Volgushev Holger Dette Marc Hallin 308 59 0 31 Jan 2014