Abstract
In this chapter we present some recent research on time series with large fluctuations, relevant for many financial time series. We approach the problem starting from classical time series analysis presented in such a way that many standard results can also be used in the heavy-tailed case.
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Emberchts, P., Klüppelberg, C., Mikosch, T. (1997). Time Series Analysis for Heavy-Tailed Processes. In: Modelling Extremal Events. Applications of Mathematics, vol 33. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33483-2_8
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