Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models
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Publication:3111058
DOI10.1239/aap/1324045701zbMath1234.60055OpenAlexW2023712203MaRDI QIDQ3111058
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
tail behaviorstochastic integralstochastic volatility modelmultivariate regular variationLévy basismixed moving average processinfinitely divisible processindependently scattered random measuresupOU process
Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Stochastic integrals (60H05)
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