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20042026
most citedGoodness-of-Fit Tests for Symmetric Stable Distributions -- Empirical Characteristic Function Approach

44 citations · 85 across the 32 of their papers we have counts for

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Showing 2015Show all

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math.ST2015★ 2 cited

The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process

Muneya Matsui, Thomas Mikosch

In this paper, we derive some asymptotic theory for the extremogram and cross-extremogram of a bivariate GARCH(1,1) process. We show that the tails of the components of a bivariate…

math.PR2015

Prediction of components in random sums

Muneya Matsui

We consider predictions of the random number and the magnitude of each iid component in a random sum based on its distributional structure, where only a total value of the sum is a…