The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes

DOI10.1007/s00440-012-0427-2zbMath1282.60053OpenAlexW2034245644MaRDI QIDQ1955845

Thomas Mikosch, Martin Moser

Publication date: 19 June 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-012-0427-2

zbMATH Keywords

regular variationmoving average processextreme value distributionGARCH processstochastic volatility modelmaximum increment of a random walkdependent jump sizes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Time series analysis of dynamical systems (37M10)

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