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Extreme value theory for GARCH processes
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 187-200). 2009
Persistent link: https://www.econbiz.de/10003833941
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Extremes of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 355-364). 2009
Persistent link: https://www.econbiz.de/10003833971
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Extreme value theory for space-time processes with heavy-tailed distributions
Davis, Richard A.; Mikosch, Thomas - 2006
Persistent link: https://www.econbiz.de/10003370444
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Introduction to time series and forecasting : [includes ITSM 2000]
Brockwell, Peter J.; Davis, Richard A. - 2002 - 2. ed.
Persistent link: https://www.econbiz.de/10001597703
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Maximum likelihood estimation for MA (1) processes with a root on or near the unit circle
Davis, Richard A. - In: Econometric theory 12 (1996) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10001201819
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Introduction to time series and forecasting
Brockwell, Peter J.; Davis, Richard A. - 1999
Persistent link: https://www.econbiz.de/10000573014