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A large deviations approach to limit theory for heavy-tailed time series
Thomas Valentin Mikosch
, Olivier Wintenberger
Department of Mathematical Sciences
12
Citations (Scopus)
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Dive into the research topics of 'A large deviations approach to limit theory for heavy-tailed time series'. Together they form a unique fingerprint.
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Mathematics
Large Deviations
73%
Time series
65%
GARCH Model
33%
Stochastic Volatility Model
32%
Recurrence Equations
32%
Multivariate Time Series
31%
Weak Limit
29%
Ruin Probability
29%
Heavy Tails
29%
Empirical Process
28%
Sample Path
27%
Stochastic Equations
25%
Point Process
25%
Supremum
24%
Tail
21%
Random walk
21%
Business & Economics
Large Deviations
100%
Empirical Process
42%
Ruin Probability
35%
Point Process
34%
Heavy Tails
32%
Multivariate Time Series
32%
Ruin
31%
Stochastic Volatility Model
27%
Random Walk
26%
GARCH Model
25%