Extremal behavior of stochastic volatility models
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Publication:3511642
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)
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