Dynamic tail inference with log-Laplace volatility

DOI10.1007/s10687-019-00368-wzbMath1461.62056arXiv1901.02419OpenAlexW3125493034MaRDI QIDQ2191426

Gordon V. Chavez

Publication date: 24 June 2020

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.02419

zbMATH Keywords

stochastic volatilityheavy tailsnonlinear time seriesextreme eventstail risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Large deviations (60F10) White noise theory (60H40)

Uses Software

• deSolve
• DLMF
• glmnet
• diffEq
• stochvol

Cites Work

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