scientific article; zbMATH DE number 2143288

MaRDI QIDQ4654873zbMATH OpenFDO

Authors Aliou Diop, Dominique Guegan

Publication date 10 March 2005

zbMATH Keywords

extreme value theorygeneralized error distributionstochastic volatility modeltail behaviour

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Extremes of stochastic volatility models
• Distribution of the extremum of a mean-reverting square-root process over a finite time interval
• The generalized extreme value distribution

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