Extremes of Continuous–Time Processes.

DOI10.1007/978-3-540-71297-8_28MaRDI QIDQ3646975zbMATH OpenOpenAlexFDO

Authors Vicky Fasen

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_28

zbMATH Keywords

continuous-time GARCH processesextremal behaviorheavy-tailed modelsheavy-tailed Ornstein-Uhlenbeck

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cited in

(7)

• Extremes on different grids and continuous time of stationary processes
• Superposition of COGARCH processes
• EXTREMES: A CONTINUOUS-TIME PERSPECTIVE
• Extremes of supOU processes
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Limitations of estimating local dimension and extremal index using exceedances in dynamical systems
• Time-changed extremal process as a random sup measure

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