Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process

DOI10.1007/s10687-012-0159-9zbMath1273.60028arXiv1108.3136MaRDI QIDQ2375847

Rafał Kulik, Philippe Soulier

Publication date: 25 June 2013

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.3136

zbMATH Keywords

regular variation; heavy tails; long memory; Stochastic volatility

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

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