Long-memory, or more generally fractal, processes are known to play an important role in
many scientific disciplines and applied fields such as physics, geophysics, hydrology …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …

The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

Research in the statistical analysis of extreme values has flourished over the past decade:
new probability models, inference and data analysis techniques have been introduced; and …

Amongmanyexcitingdevelopmentsinstatistic…, nonlineartimeseriesanddata-
analyticnonparametricmethodshavegreatly advanced along seemingly unrelated paths. In …

This comprehensive text gives an interesting and useful blend of the mathematical,
probabilistic and statistical tools used in heavy-tail analysis. Heavy tails are characteristic of …

This book is concerned with extreme value theory for stochastic processes whose finite-
dimensional distributions are heavy-tailed in the restrictive sense of regular variation. These …

Dariusz Buraczewski Ewa Damek Thomas Mikosch The Equation X = AX + B Page 1
Springer Series in Operations Research and Financial Engineering Dariusz Buraczewski …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

We consider a strictly stationary sequence of random vectors whose finite-dimensional
distributions are jointly regularly varying with some positive index. This class of processes …