23 citations · 48 across the 9 of their papers we have counts for
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math.PR2013★ 19 cited
A stochastic volatility model with flexible extremal dependence structure
Anja Janssen, Holger Drees
Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven b…
math.PR2013★ 2 cited
Markov tail chains
Anja Janßen, Johan Segers
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random wal…