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07/04/2023
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Engle and Russell (1998, Econometrica, 66:1127–1162) apply results from ...
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03/30/2023
Self-normalized partial sums of heavy-tailed time series
We study the joint limit behavior of sums, maxima and ℓ^p-type moduli fo...
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11/07/2022
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
We consider a strictly stationary random field on the two-dimensional in...
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07/07/2021
Distance covariance for random fields
We study an independence test based on distance correlation for random f...
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06/09/2021
Some variations on the extremal index
We re-consider Leadbetter's extremal index for stationary sequences. It ...
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01/30/2020
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
In this paper, we show that the largest and smallest eigenvalues of a sa...
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01/14/2020
Large sample autocovariance matrices of linear processes with heavy tails
We provide asymptotic theory for certain functions of the sample autocov...
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01/14/2020
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
We consider a p-dimensional time series where the dimension p increases ...
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06/25/2018
