Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
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Publication:2375847
DOI10.1007/s10687-012-0159-9zbMath1273.60028arXiv1108.3136OpenAlexW2015082670MaRDI QIDQ2375847
Publication date: 25 June 2013
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.3136
Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)
Related Items (5)
A stochastic volatility model with flexible extremal dependence structure ⋮ On the measurement and treatment of extremes in time series ⋮ Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise ⋮ The tail empirical process for long memory stochastic volatility models with leverage ⋮ Heavy tailed time series with extremal independence
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