Extremal behavior of stochastic volatility models (Q3511642)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Extremal behavior of stochastic volatility models |
scientific article; zbMATH DE number 5299703
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Extremal behavior of stochastic volatility models |
scientific article; zbMATH DE number 5299703 |
Statements
11 July 2008
0 references
COGARCH
0 references
extreme value theory
0 references
generalized Cox-Ingersoll-Ross model
0 references
Lévy processes
0 references
Ornstein-Uhlenbeck processes
0 references
0.8438912630081177
0 references
0.8332751393318176
0 references
0.8100912570953369
0 references
0.7961680293083191
0 references
