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Dokumenttyp:
Buchbeitrag 
Autor(en):
Fasen, V.,Klüppelberg, C. and Lindner, A. 
Künstler (Werkautoren):
Grssinho, M.d.R., Shiryaev, A.N., Esquivel, M und Oliviera, P.E. (Eds.) 
Titel:
Extremal behavior of stochastic volatility models 
Abstract:
Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial- upwards jumps and clusters on high levels. We investigate classical and non-classical stochastic volatility models with respect to their extreme behavior. We show that classical stochastic volatility models driven by Brownian motion can model heavy tails, but obviously they are not able to model volatility jumps. Such phenomena can be model...    »
 
Seitenangaben Beitrag:
107-155 
Stichworte:
COGARCH, extreme value theory, generalized Cox-Ingersoll-Ross model, L´evy process, Ornstein-Uhlenbeck process, Poisson approximation, regular variation, stochastic volatility model, subexponential distribution, tail behavior, volatility cluster. 
Buchtitel:
Stochastic Finance 
Verlag / Institution:
Springer 
Verlagsort:
New York 
Jahr:
2006 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 06 
Format:
Text