Damek, Ewa; Matsui, Muneya Tails of bivariate stochastic recurrence equation with triangular matrices. (English) Zbl 1495.60044 Stochastic Processes Appl. 150, 147-191 (2022). MSC: 60G70 60G10 60H25 62M10 91B84 PDFBibTeX XMLCite \textit{E. Damek} and \textit{M. Matsui}, Stochastic Processes Appl. 150, 147--191 (2022; Zbl 1495.60044) Full Text: DOI arXiv
Damek, Ewa; Matsui, Muneya; Świątkowski, Witold Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes. (English) Zbl 1408.60040 Colloq. Math. 155, No. 2, 227-254 (2019). MSC: 60G70 62M10 60H25 91B84 PDFBibTeX XMLCite \textit{E. Damek} et al., Colloq. Math. 155, No. 2, 227--254 (2019; Zbl 1408.60040) Full Text: DOI arXiv
Matsui, Muneya; Mikosch, Thomas The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. (English) Zbl 1426.60059 Adv. Appl. Probab. 48, No. A, 217-233 (2016). MSC: 60G70 62M10 60G10 91B84 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{T. Mikosch}, Adv. Appl. Probab. 48, No. A, 217--233 (2016; Zbl 1426.60059) Full Text: DOI arXiv
Matsui, Muneya; Rolski, Tomasz Prediction in a mixed Poisson cluster model. (English) Zbl 1344.60049 Stoch. Models 32, No. 3, 460-480 (2016). MSC: 60G55 60G25 60G51 62M20 91B30 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{T. Rolski}, Stoch. Models 32, No. 3, 460--480 (2016; Zbl 1344.60049) Full Text: DOI
Matsui, Muneya Prediction in a Poisson cluster model with multiple cluster processes. (English) Zbl 1398.91348 Scand. Actuar. J. 2015, No. 1, 1-31 (2015). MSC: 91B30 60G25 60G55 60G51 PDFBibTeX XMLCite \textit{M. Matsui}, Scand. Actuar. J. 2015, No. 1, 1--31 (2015; Zbl 1398.91348) Full Text: DOI
Klüppelberg, Claudia; Matsui, Muneya Generalized fractional Lévy processes with fractional Brownian motion limit. (English) Zbl 1333.60074 Adv. Appl. Probab. 47, No. 4, 1108-1131 (2015). MSC: 60G22 60G51 60F17 60F05 60H05 60G17 91B24 91B70 62P20 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{M. Matsui}, Adv. Appl. Probab. 47, No. 4, 1108--1131 (2015; Zbl 1333.60074) Full Text: DOI Euclid
Matsui, Muneya Prediction in a non-homogeneous Poisson cluster model. (English) Zbl 1296.60128 Insur. Math. Econ. 55, 10-17 (2014). MSC: 60G55 60G51 60G25 91B30 PDFBibTeX XMLCite \textit{M. Matsui}, Insur. Math. Econ. 55, 10--17 (2014; Zbl 1296.60128) Full Text: DOI arXiv
Matsui, Muneya; Mikosch, Thomas Prediction in a Poisson cluster model. (English) Zbl 1200.60033 J. Appl. Probab. 47, No. 2, 350-366 (2010). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60G25 62P05 60G55 60K30 91B30 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{T. Mikosch}, J. Appl. Probab. 47, No. 2, 350--366 (2010; Zbl 1200.60033) Full Text: DOI