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Dokumenttyp:
Buchbeitrag 
Autor(en):
Fasen, V., Klüppelberg, C. 
Titel:
Extremes of supOU processes 
Abstract:
Barndorff-Nielsen and Shephard [3] investigate supOU processes as volatility models. Empirical volatility has tails heavier than normal, long memory in the sense that the empirical autocorrelation function decreases slower than exponential, and exhibits volatility clusters on high levels. We investigate supOU processes with respect to these stylized facts. The class of supOU processes is vast and can be distinguished by its underlying driving Lévy process. Within the classes of convolution e...    »
 
Seitenangaben Beitrag:
340-359 
Stichworte:
convolution equivalent distribution, extreme value theory, independently scattered random measure, Lévy process, long range dependence, point process, regular variation, shot noise process, subexponential distribution, supOU process, extremal cluster 
Buchtitel:
Benth, F.E., Di Nunno, G., Lindstrom, T., Øksendal, B., Zhang, T. : Stochastic Analysis and Applications 
Titelzusatz:
The Abel Symposium 2005 
Verlag / Institution:
Springer 
Jahr:
2007 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 07 
Format:
Text