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Document type:
Buchbeitrag 
Author(s):
Fasen, V.,Klüppelberg, C. and Lindner, A. 
Artist:
Grssinho, M.d.R., Shiryaev, A.N., Esquivel, M und Oliviera, P.E. (Eds.) 
Title:
Extremal behavior of stochastic volatility models 
Pages contribution:
107-155 
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...    »
 
Keywords:
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. 
Book title:
Stochastic Finance 
Publisher:
Springer 
Publisher address:
New York 
Year:
2006 
Reviewed:
ja 
Language:
en 
Semester:
SS 06 
Format:
Text