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Extremal analysis of processes sampled at different frequencies

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  • M. E. Robinson
  • J. A. Tawn
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00223
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    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Methodological).

    Volume (Year): 62 (2000)
    Issue (Month): 1 ()
    Pages: 117-135

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    Handle: RePEc:bla:jorssb:v:62:y:2000:i:1:p:117-135

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    Cited by:
    1. Gomes, M. Ivette & Hall, Andreia & Miranda, M. Cristina, 2008. "Subsampling techniques and the Jackknife methodology in the estimation of the extremal index," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2022-2041, January.
    2. Scotto, M. G., 2003. "A note on the asymptotic distribution of the maxima in disaggregated time-series models," Statistics & Probability Letters, Elsevier, vol. 65(2), pages 127-137, November.
    3. Hall, A. & Scotto, M. G., 2003. "Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations," Statistics & Probability Letters, Elsevier, vol. 63(1), pages 97-105, May.
    4. John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics.
    5. Scotto, M., 2005. "Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 417-434, March.

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