Extremes of Stochastic Volatility Models

DOI10.1007/978-3-540-71297-8_15zbMath1178.62112MaRDI QIDQ3646961

Thomas Mikosch, Richard A. Davis

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1028903446

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

91G10: Portfolio theory

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