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Document type:
Buchbeitrag 
Author(s):
Fasen, V., Klüppelberg, C. 
Title:
Extremes of supOU processes 
Pages contribution:
340-359 
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...    »
 
Keywords:
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 
Book title:
Benth, F.E., Di Nunno, G., Lindstrom, T., Øksendal, B., Zhang, T. : Stochastic Analysis and Applications 
Book subtitle:
The Abel Symposium 2005 
Publisher:
Springer 
Year:
2007 
Reviewed:
ja 
Language:
en 
Semester:
SS 07 
Format:
Text