|
Dacorogna, M.M., Muller, U. A., Pictet, O. V. and de Vries, C. G. (1995), The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets, Q & A Research Group Working Paper. Danielsson, J. and de Vries, C. G. (1997), Beyond the Sample: Extreme Quantile and Probability Estimation, Tinbergen Institute Rotterdam Working Paper. de Haan, L., Resnick, S. I., Rootzen, H. and de Vries, C. G. (1989), Extreme behaviour of solutions to a stochastic difference equation with applications to ARCH process, Stochastic Processes and their Applications, p.213-224. de Haan, L. and Resnick, S. I. (1980), A Simple Asymptotics Estimate for the Index of A Stable Distribution, Journal of the Royal Statistical Society, Series B, p.83-87. Falk, M., Husler, J. and Reiss, R. D. (1994), Law of Small Numbers: Extremes and Rare Events, Birkhauser-Verlag, Basel. Hall, P. (1990), Using the Bootstrap to Estimate Mean Square Error and Select Smoothing Parameter in Nonparametric Problems, Journal of Multivariate Analysis, p.177-203. Hill, B. M. (1975), A Simple General Approach to Inference About the Tail of A Distribution, Annals of Statistics, p.1163-1173. Hols, M. C. A. B. and de Vries, C. G. (1991), The Limiting Distribution of Extremal Exchange Rate Returns, Journal of Applied Econometics, p.287-302. Kesten, H. (1973), Random difference equations and renewal theory for products of random matrices, Acta Mathematica, p.207-248. Leadbetter, M. R., Lindgren, G. and Rootzen, H. (1983), Extremes and Related Properties of Random Sequences and Processes, Springer-Verlag, New York. Pickands, J. (1975), Statistical Inference Using Extreme Order Statistics, Annals of Statistics, p.119-131. Reiss, R. D. and Thomas, M. (1997), Statistical Analysis of Extreme Values, Birkhauser-Verlag, Basel. Resnick, S. I. and Starica, C. (1997), Smoothing the Hill Estimator, Advances in Applied Probability, p.271-293. Starica, C.and Pictet, O. (1997), The tales the tails of GARCH processes tell, Chalmers University of Technology Working Paper.
|