Extremes of supOU processes

MaRDI QIDQ5436605zbMATH OpenFDO

Authors Vicky Fasen, Claudia Klüppelberg

Publication date 17 January 2008

zbMATH Keywords

convolution equivalent distributionextremal clusterextreme value theoryindependently scattered random measurelong range dependence, point processLévy processregular variationshot noise processsubexponential distributionsupOU process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

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Cited in

(31)

• Extremal behavior of diffusion models in finance
• Extremes of stochastic volatility models
• Superextremal processes, max-stability and dynamic continuous choice
• Weak dependence and GMM estimation of supOU and mixed moving average processes
• Intermittency and infinite variance: the case of integrated supou processes
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
• The tail process and tail measure of continuous time regularly varying stochastic processes
• The multifaceted behavior of integrated supOU processes: the infinite variance case
• Superposition of COGARCH processes
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Moment based estimation of supOU processes and a related stochastic volatility model
• The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
• On infinitely divisible semimartingales
• Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
• Extremes of Continuous–Time Processes.
• Functional regular variation of Lévy-driven multivariate mixed moving average processes
• Intermittency of superpositions of Ornstein-Uhlenbeck type processes
• Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes
• Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
• Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments
• Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
• Multivariate supOU processes
• Statistical evaluation of a long-memory process using the generalized entropic value-at-risk
• Tail behavior and almost sure growth rate of superpositions of Ornstein-Uhlenbeck-type processes
• Singular properties of high-order spectral densities of supOU processes
• Almost sure growth of integrated supOU processes
• Positively decreasing and related distributions under dependence
• Dickman type stochastic processes with short- and long- range dependence
• Simulation of supOU processes with specified marginal distribution and correlation function
• Time-changed extremal process as a random sup measure
• Integrability conditions for space-time stochastic integrals: theory and applications

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