Extremes of stochastic volatility models

DOI10.1214/aoap/1028903446zbMath0941.60069OpenAlexW4238503581MaRDI QIDQ1296598

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 seriesmathematical financeasymptotic lawsstochastic volatility modelsexteme values

Mathematics Subject Classification ID

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

Related Items

Almost sure limit theorems for the maxima of stochastic volatility models, The extremogram: a correlogram for extreme events, Extremal memory of stochastic volatility with an application to tail shape inference, The extremal index for GARCH(1,1) processes, Stochastic volatility models with possible extremal clustering, Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances, Tail behavior of random products and stochastic exponentials, Extreme value theory for moving average processes with light-tailed innovations, Least tail-trimmed squares for infinite variance autoregressions, Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes

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