4 citations · 5 across the 3 of their papers we have counts for
3 papers
math.ST2012★ 1 cited
Extremes of multivariate ARMAX processes
Marta Ferreira, Helena Ferreira
We define a new multivariate time series model by generalizing the ARMAX process in a multivariate way. We give conditions on stationarity and analyze local dependence and domains…
math.ST2012
Extremal behavior of pMAX processes
Helena Ferreira, Marta Ferreira
The well-known M4 processes of Smith and Weissman are very flexible models for asymptotically dependent multivariate data. Extended M4 of Heffernan \emph{et al.} allows to also acc…
math.ST2011★ 4 cited
Extremal dependence: some contributions
Helena Ferreira, Marta Ferreira
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail de…