Kunihama, Tsuyoshi; Omori, Yasuhiro; Zhang, Zhengjun - Center for International Research on the Japanese … - 2010
Extreme values are often correlated over time, for example, in a financial time series, and these values carry various risks. Max-stable processes such as maxima of moving maxima (M3) processes have been recently considered in the literature to describe timedependent dynamics, which have been...