Extremal behavior of stochastic volatility models
zbMATH Open1159.62068MaRDI QIDQ3511642FDOQ3511642
Authors: Vicky Fasen, Claudia Klüppelberg, Alexander Lindner 
Publication date: 11 July 2008
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extreme value theoryOrnstein-Uhlenbeck processesCOGARCHLévy processesgeneralized Cox-Ingersoll-Ross model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Cited In (18)
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Limit experiments of GARCH
- Title not available (Why is that?)
- Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
- Geometric ergodicity of the multivariate COGARCH(1,1) process
- Convolution equivalence and distributions of random sums
- Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data
- Continuous-time GARCH processes
- On strong solutions for positive definite jump diffusions
- A stable Cox-Ingersoll-Ross model with restart
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- The continuous-time limit of score-driven volatility models
- A continuous-state polynomial branching process
- Multi-scaling of moments in stochastic volatility models
- Extremes of Stochastic Volatility Models
- Extremes of autoregressive threshold processes
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Almost sure limit theorems for the maxima of stochastic volatility models
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