Extremes of stochastic volatility models

DOI10.1214/AOAP/1028903446zbMATH Open0941.60069OpenAlexW4238503581MaRDI QIDQ1296598FDOQ1296598

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

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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)

Cites Work

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• ARCH modeling in finance. A review of the theory and empirical evidence
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• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• The Price Variability-Volume Relationship on Speculative Markets
• The detection and estimation of long memory in stochastic volatility
• Weak convergence results for extremal processes generated by dependent random variables
• Weak convergence to extremal processes
• Extremes of moving averages of random variables with finite endpoint
• Pricing foreign currency options with stochastic volatility
• Title not available (Why is that?)
• On a strong Tauberian result

Cited In (15)

• Extreme value theory for moving average processes with light-tailed innovations
• Title not available (Why is that?)
• Extreme market risk and extreme value theory
• The extremogram: a correlogram for extreme events
• Tail behavior of random products and stochastic exponentials
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• The extremal index for GARCH(1,1) processes
• Title not available (Why is that?)
• Stochastic volatility models with possible extremal clustering
• Extremes of Stochastic Volatility Models
• Extreme VaR scenarios in higher dimensions
• Extremal memory of stochastic volatility with an application to tail shape inference
• Least tail-trimmed squares for infinite variance autoregressions
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
• Almost sure limit theorems for the maxima of stochastic volatility models

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