Some properties of stochastic volatility model that are induced by its volatility sequence (Q1731258)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some properties of stochastic volatility model that are induced by its volatility sequence |
scientific article |
Statements
Some properties of stochastic volatility model that are induced by its volatility sequence (English)
0 references
13 March 2019
0 references
point process
0 references
vague convergence
0 references
multivariate regular variation
0 references
mixing condition
0 references
stationary process
0 references
heavy tail
0 references
exponential AR(2) process
0 references
finance
0 references
stochastic volatility
0 references
0 references
