Extremes of Lévy driven mixed MA processes with convolution equivalent distributions

DOI10.1007/S10687-008-0079-XzbMATH Open1224.60119OpenAlexW2170004459MaRDI QIDQ626294FDOQ626294

Authors: Vicky Fasen 

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0079-x

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• Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models

zbMATH Keywords

marked point processextreme values theorysubexponential distributionshot noise processconvolution equivalent distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Random measures (60G57)

Cites Work

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• Title not available (Why is that?)
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Cited In (9)

• Integrability conditions for space-time stochastic integrals: theory and applications
• High-level dependence in time series models
• Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
• Extreme value theory for spatial random fields -- with application to a Lévy-driven field
• Functional regular variation of Lévy-driven multivariate mixed moving average processes
• Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
• Extremes of subexponential Lévy driven moving average processes
• Extremes of regularly varying Lévy-driven mixed moving average processes
• Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models

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