Extreme value statistics provides accurate estimates for the small occurrence probabilities of
rare events. While theory and statistical tools for univariate extremes are well developed …

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 gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

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

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 …

I first heard about long-range dependence while working on a book on stable processes
with Murad Taqqu. Initially, the notion did not seem to stand out among other notions I was …

We show that the finite-dimensional distributions of a GARCH process are regularly varying,
ie, the tails of these distributions are Pareto-like and hence heavy-tailed. Regular variation of …

We consider some elementary functions of the components of a regularly varying random
vector such as linear combinations, products, minima, maxima, order statistics, powers. We …

Because of its potential to... predict the unpredictable,... extreme value theory (EVT) and
methodology is currently receiving a great deal of attention from statistical and mathematical …

Extreme values of a stationary, multivariate time series may exhibit dependence across
coordinates and over time. The aim of this paper is to offer a new and potentially useful tool …