Stochastic volatility models with possible extremal clustering

DOI10.3150/12-BEJ426zbMath1286.91144arXiv1312.2780MaRDI QIDQ2435218

Thomas Mikosch, Mohsen Rezapour

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.2780

zbMATH Keywords

point processGARCHextremal indexstationary sequenceEGARCHextremal clusteringstochastic volatility processexponential AR(1)multivariate reg- ular variation

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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