Extremes of stochastic volatility models

DOI10.1214/AOAP/1028903446MaRDI QIDQ1296598zbMATH OpenOpenAlexFDO

Authors F. Jay Breidt, Richard A. Davis

Publication date 3 August 2000

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1028903446

zbMATH Keywords

time seriesstochastic volatility modelsmathematical financeasymptotic lawsexteme values

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

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Cited in

(15)

• Tail behavior of random products and stochastic exponentials
• scientific article; zbMATH DE number 2143288 (Why is no real title available?)
• The extremal index for GARCH(1,1) processes
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• Extreme market risk and extreme value theory
• Extremes of Stochastic Volatility Models
• Least tail-trimmed squares for infinite variance autoregressions
• Extremal memory of stochastic volatility with an application to tail shape inference
• Stochastic volatility models with possible extremal clustering
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
• The extremogram: a correlogram for extreme events
• Extreme value theory for moving average processes with light-tailed innovations
• Almost sure limit theorems for the maxima of stochastic volatility models
• Extreme VaR scenarios in higher dimensions
• scientific article; zbMATH DE number 1538085 (Why is no real title available?)

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