A stochastic volatility model with flexible extremal dependence structure
From MaRDI portal
Publication:282541
DOI10.3150/15-BEJ699zbMath1342.60080arXiv1310.4621MaRDI QIDQ282541
Publication date: 12 May 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.4621
random matrixasymptotic independencefinancial time seriestail dependenceBreiman's lemmaextremal dependenceextreme value behaviorhidden regular variationpower productsstochastic volatility model
Random matrices (probabilistic aspects) (60B20) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80)
Related Items (10)
Joint exceedances of random products ⋮ Polar decomposition of regularly varying time series in star-shaped metric spaces ⋮ Statistics for tail processes of Markov chains ⋮ Regular variation of a random length sequence of random variables and application to risk assessment ⋮ Heavy-tailed random walks, buffered queues and hidden large deviations ⋮ Statistical inference for heavy tailed series with extremal independence ⋮ Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise ⋮ Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process ⋮ Tail probabilities of random linear functions of regularly varying random vectors ⋮ Heavy tailed time series with extremal independence
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Statistics for tail processes of Markov chains
- Conditioning on an extreme component: model consistency with regular variation on cones
- Regularly varying multivariate time series
- Extreme value theory for moving average processes
- Hidden regular variation, second order regular variation and asymptotic independence
- Regular variation of GARCH processes.
- Bivariate tail estimation: dependence in asymptotic independence
- Heavy tailed time series with extremal independence
- Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
- Stochastic volatility models with possible extremal clustering
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Point process convergence of stochastic volatility processes with application to sample autocorrelation
- On Interchanging Limits and Integrals
- Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
- Regular variation for measures on metric spaces
- Extremes of Stochastic Volatility Models
- Statistics for near independence in multivariate extreme values
- Diagnostics for Dependence within Time Series Extremes
- Extremes and local dependence in stationary sequences
- Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation
- On a Theorem of Breiman and a Class of Random Difference Equations
- Heavy-Tail Phenomena
- Multivariate Stochastic Volatility: A Review
This page was built for publication: A stochastic volatility model with flexible extremal dependence structure
