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Tails and extremal behaviour of stochastic unit root models
Gouriéroux, Christian; Robert, Christian Yann - 2001
Persistent link: https://www.econbiz.de/10001626924
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A new approach for the dynamics of ultra-high-frequency data : the model with uncertainty zones
Robert, Christian Yann; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 344-366
Persistent link: https://www.econbiz.de/10009125119
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Tails of correlation mixtures of elliptical copulas
Manner, Hans; Segers, Johan - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 153-160
Persistent link: https://www.econbiz.de/10008839743
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Maximum empirical likelihood estimation of the spectral measure of an extreme value distribution
Einmahl, John H. J. (contributor); Segers, Johan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003736689
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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Empirical tail copulas for functional data
Einmahl, John H. J.; Segers, Johan - 2020
Persistent link: https://www.econbiz.de/10012161555