Stochastic volatility models with possible extremal clustering
From MaRDI portal
Publication:2435218
DOI10.3150/12-BEJ426zbMath1286.91144arXiv1312.2780MaRDI QIDQ2435218
Thomas Mikosch, Mohsen Rezapour
Publication date: 4 February 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.2780
point processGARCHextremal indexstationary sequenceEGARCHextremal clusteringstochastic volatility processexponential AR(1)multivariate reg- ular variation
Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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