172 citations · 550 across the 37 of their papers we have counts for
Showing 2013 · math.STShow all
2 papers · 2 filters
math.ST2013★ 21 cited
Stochastic volatility models with possible extremal clustering
Thomas Mikosch, Mohsen Rezapour
In this paper we consider a heavy-tailed stochastic volatility model, , , where the volatility sequence and the i.i.d. noise sequence ar…
math.ST2013★ 4 cited
Measures of serial extremal dependence and their estimation
Richard A. Davis, Thomas Mikosch, Yuwei Zhao
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We…