A stochastic volatility model with flexible extremal dependence structure
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Publication:282541
DOI10.3150/15-BEJ699zbMath1342.60080arXiv1310.4621MaRDI QIDQ282541
Publication date: 12 May 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.4621
random matrixasymptotic independencefinancial time seriestail dependenceBreiman's lemmaextremal dependenceextreme value behaviorhidden regular variationpower productsstochastic volatility model
Random matrices (probabilistic aspects) (60B20) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80)
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