Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4257
@@ Property / arXiv ID: 1002.4257 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Basic properties of strong mixing conditions. A survey and some open questions
+Normal rank
@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4395532
@@ Property / cites work: Q4395532 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2738722
@@ Property / cites work: Q2738722 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Point process and partial sum convergence for weakly dependent random variables with infinite variance
+Normal rank
@@ Property / cites work @@
+The sample autocorrelations of heavy-tailed processes with applications to ARCH
+Normal rank
@@ Property / cites work @@
+Embedding a stochastic difference equation into a continuous-time process
+Normal rank
@@ Property / cites work @@
+On convergence toward an extreme value distribution in \(C[0,1]\)
+Normal rank
@@ Property / cites work @@
+Iterated Random Functions
@@ Property / cites work: Iterated Random Functions / rank @@
+Normal rank
@@ Property / cites work @@
+On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
+Normal rank
@@ Property / cites work @@
+Q3511642
@@ Property / cites work: Q3511642 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic volatility models as hidden Markov models and statistical applications
+Normal rank
@@ Property / cites work @@
+Implicit renewal theory and tails of solutions of random equations
+Normal rank
@@ Property / cites work @@
+Method of moment estimation in the COGARCH(1,1) model
+Normal rank
@@ Property / cites work @@
+Optimal investment for investors with state dependent income, and for insurers
+Normal rank
@@ Property / cites work @@
+Extremal behavior of regularly varying stochastic processes
+Normal rank
@@ Property / cites work @@
+Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
+Normal rank
@@ Property / cites work @@
+Q5624460
@@ Property / cites work: Q5624460 / rank @@
+Normal rank
@@ Property / cites work @@
+Regularly varying functions
@@ Property / cites work: Regularly varying functions / rank @@
+Normal rank
@@ Property / cites work @@
+Foundations of Modern Probability
@@ Property / cites work: Foundations of Modern Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Random difference equations and renewal theory for products of random matrices
+Normal rank
@@ Property / cites work @@
+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
+Normal rank
@@ Property / cites work @@
+Q5493557
@@ Property / cites work: Q5493557 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers when the stock price follows an exponential Lévy process
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Extremes and local dependence in stationary sequences
+Normal rank
@@ Property / cites work @@
+Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Q3995465
@@ Property / cites work: Q3995465 / rank @@
+Normal rank
@@ Property / cites work @@
+GARCH modelling in continuous time for irregularly spaced time series data
+Normal rank
@@ Property / cites work @@
+On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Finite and infinite time ruin probabilities in a stochastic economic environment.
+Normal rank
@@ Property / cites work @@
+Sharp conditions for certain ruin in a risk process with stochastic return on investments
+Normal rank
@@ Property / cites work @@
+On Cramér-like asymptotics for risk processes with stochastic return on investments
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Q4663402
@@ Property / cites work: Q4663402 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank