Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models

DOI10.1239/aap/1324045701zbMath1234.60055MaRDI QIDQ3111058

Martin Moser, Robert Stelzer

Publication date: 17 January 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1324045701

zbMATH Keywords

tail behavior; stochastic integral; stochastic volatility model; multivariate regular variation; Lévy basis; mixed moving average process; infinitely divisible process; independently scattered random measure; supOU process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G10: Stationary stochastic processes

60G70: Extreme value theory; extremal stochastic processes

60H05: Stochastic integrals

Related Items

Unnamed Item, Spectral representation of multivariate regularly varying Lévy and CARMA processes, Functional regular variation of Lévy-driven multivariate mixed moving average processes, Stationary infinitely divisible processes, The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes, Limit Theory for High Frequency Sampled MCARMA Models

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