Extremes of Continuous–Time Processes.

DOI10.1007/978-3-540-71297-8_28zbMath1180.60046OpenAlexW2197322939MaRDI QIDQ3646975

Vicky Fasen

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_28

zbMATH Keywords

extremal behaviorcontinuous-time GARCH processesheavy-tailed modelsheavy-tailed Ornstein-Uhlenbeck

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

Superposition of COGARCH processes

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