23 citations · 48 across the 9 of their papers we have counts for
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math.PR2016
Conditional Extreme Value Models: Fallacies and Pitfalls
Holger Drees, Anja Janßen
Conditional extreme value models have been introduced by Heffernan and Resnick (2007) to describe the asymptotic behavior of a random vector as one specific component becomes extre…
math.PR2016★ 3 cited
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Anja Janßen, Thomas Mikosch, Mohsen Rezapour +1
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its ent…