Some properties of stochastic volatility model that are induced by its volatility sequence (Q1731258)
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scientific article; zbMATH DE number 7035609
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some properties of stochastic volatility model that are induced by its volatility sequence |
scientific article; zbMATH DE number 7035609 |
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Some properties of stochastic volatility model that are induced by its volatility sequence (English)
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13 March 2019
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point process
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vague convergence
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multivariate regular variation
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mixing condition
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stationary process
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heavy tail
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exponential AR(2) process
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finance
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stochastic volatility
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