Tail and dependence behavior of levels that persist for a fixed period of time

Author:

Ferreira Marta,Canto e Castro Luísa

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Reference19 articles.

1. Alpuim, M.T.: Contribuições à teoria de extremos em sucessões dependentes. Ph.D. thesis, FCUL (1989)

2. Canto e Castro, L.: Sobre a teoria assintótica de extremos. Ph.D. thesis, FCUL (1992)

3. Davis, R., Resnick, S.: Basic properties and prediction of max-ARMA processes. Adv. Appl. Probab. 21, 781–803 (1989)

4. de Haan, L., Resnick, S.I.: Second order regular variation and rates of convergence in extreme value theory. Ann. Probab. 24, 97–124 (1997)

5. de Haan, L., Stadtmüller, U.: Generalized regular variation of second order. J. Aust. Math. Soc. (Series A) 61, 381–395 (1996)

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