{"product_id":"extreme-value-theory-for-time-series-von-thomas-mikosch-und-olivier-wintenberger","title":"Extreme Value Theory for Time Series","description":"\n                                \n                \u003cp\u003eThis book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models.\u003c\/p\u003e\n                                \n                \n                \u003cp\u003eRigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures.\u003c\/p\u003e\n                                \n                \n                \u003cp\u003eThe remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques.\u003c\/p\u003e\n                                \n                \n                \u003cp\u003eA major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. \u003c\/p\u003e\n                                \n                \n                \u003cp\u003eThis text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data.\u003c\/p\u003e\n                                \n                \n                \u003cp\u003eThe book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis.\u003c\/p\u003e\n                                \n                \n                \u003cp\u003eIt is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible.\u003c\/p\u003e\n                                \n                \n                \u003cp\u003e \u003c\/p\u003e\n                                \n                \n                \u003cp\u003e \u003c\/p\u003e\n                            \n            \u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783031591556\"\u003e\u003ch3\u003eModels with Power-Law Tails\u003c\/h3\u003e\u003c\/div\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783031591587\"\u003e\u003ch3\u003eModels with Power-Law Tails\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Hardcover - 9783031591556","offer_id":49868005769541,"sku":"9783031591556","price":181.89,"currency_code":"EUR","in_stock":true},{"title":"Softcover - 9783031591587","offer_id":55465106932037,"sku":"9783031591587","price":235.39,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/e8c63e6c-a579-484a-b4a0-628a846e7bbe.jpg?v=1772774606","url":"https:\/\/shop.autorenwelt.de\/products\/extreme-value-theory-for-time-series-von-thomas-mikosch-und-olivier-wintenberger","provider":"Autorenwelt Shop","version":"1.0","type":"link"}