Testing the existence of clustering in the extreme values
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References listed on IDEAS
- Laurens de Haan, 1976. "Sample extremes: an elementary introduction," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 30(4), pages 161-172, December.
- de Haan, Laurens, 1976. "Sample Extremes: An Elementary Introduction," Econometric Institute Archives 272130, Erasmus University Rotterdam.
- Hsing, Tailen, 1991. "Estimating the parameters of rare events," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 117-139, February.
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- Nikolaus Hautsch & Rodrigo Herrera, 2020.
"Multivariate dynamic intensity peaks‐over‐threshold models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 248-272, March.
- Hautsch, Nikolaus & Herrera, Rodrigo, 2015. "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series 516, Center for Financial Studies (CFS).
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This paper has been announced in the following NEP Reports:- NEP-ECM-2005-04-16 (Econometrics)
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