24 citations · 46 across the 3 of their papers we have counts for
3 papers
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…
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
Richard Davis, Johannes Heiny, Thomas Mikosch +1
We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when th…
Heterogenous scaling in interevent time of on-line bookmarking
Peng Wang, Xiao-Yi Xie, Chi Ho Yeung +1
In this paper, we study the statistical properties of bookmarking behaviors in Delicious.com. We find that the interevent time distributions of bookmarking decays powerlike as inte…