Stochastic volatility process generated by Gumbel extreme value autoregressive model

MaRDI QIDQ4991216zbMATH OpenFDO

Authors

Publication date 2 June 2021

zbMATH Keywords

Gumbel extreme value distributionmethod of momentsstochastic volatility models

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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