Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
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Cites work
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- scientific article; zbMATH DE number 3249399 (Why is no real title available?)
- An Introduction to the Theory of Point Processes
- Convolution equivalence and distributions of random sums
- Convolution equivalence and infinite divisibility
- Convolution tails, product tails and domains of attraction
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- 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
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- Extremes of regularly varying Lévy-driven mixed moving average processes
- Extremes of subexponential Lévy driven moving average processes
- Extremes of supOU processes
- Foundations of Modern Probability
- Functionals of infinitely divisible stochastic processes with exponential tails
- 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
Cited in
(9)- Extremes of regularly varying Lévy-driven mixed moving average processes
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- Integrability conditions for space-time stochastic integrals: theory and applications
- High-level dependence in time series models
- Extreme value theory for spatial random fields -- with application to a Lévy-driven field
- Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
- 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 subexponential Lévy driven moving average processes
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