Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
Mixed moving average processes of the form \[ Y(t)=\int_{R_{+}\times R}f(r,t-s)d\Lambda(r,s) \] are considered, where \(f\) is a kernel function, \(\Lambda\) is an infinitely divisible, independently scattered random measure with finite dimensional distributions belonging to the class of convolution equivalent distributions and lying in the maximum domain of attraction of a Gumbel distribution. The tail behaviour of the stationary distribution of \(Y(t)\) and \(\sup_{0\leq t\leq h} Y(t)\) are analysed. Extreme behaviour of \(Y\) is described in terms of a marked point process based on maxima of \(Y\) in random intervals.
- Extremes of regularly varying Lévy-driven mixed moving average processes
- Extremes of subexponential Lévy driven moving average processes
- Extreme value theory for moving average processes
- Extreme value theory for moving average processes with light-tailed innovations
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
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- Extremal behavior of stochastic volatility models
- Extremal properties of shot noise processes
- Extreme value theory for moving average processes
- Extremes and related properties of random sequences and processes
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- Extremes of regularly varying Lévy-driven mixed moving average processes
- Extremes of subexponential Lévy driven moving average processes
- Extremes of supOU processes
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- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On convolution tails
- Spectral representations of infinitely divisible processes
- Subexponential distribution tails and point processes
- Superposition of Ornstein-Uhlenbeck type processes
- Extremes of subexponential Lévy driven moving average processes
- Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- Functional regular variation of Lévy-driven multivariate mixed moving average processes
- Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
- Extremes of regularly varying Lévy-driven mixed moving average processes
- High-level dependence in time series models
- Tail dependence coefficients of moving average processes driven by exponential-tailed Lévy noise
- Extreme value theory for spatial random fields -- with application to a Lévy-driven field
- Integrability conditions for space-time stochastic integrals: theory and applications
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