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Document type:
Buchbeitrag 
Author(s):
Fasen, V. 
Artist:
Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T. (Eds.) 
Title:
Extremes of continuous-time processes 
Pages contribution:
653-667 
Abstract:
In this paper we present a review on the extremal behavior of stationary continuous-time processes with emphasis on generalized Ornstein-Uhlenbeck processes. We restrict our attention to heavy-tailed models like heavy-tailed Ornstein-Uhlenbeck processes or continuous-time GARCH processes. The survey includes the tail behavior of the stationary distribution, the tail behavior of the sample maximum and the asymptotic behavior of sample maxima of our models. 
Book title:
Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T.: Handbook of Financial Time Series 
Publisher:
Springer 
Publisher address:
Heidelberg 
Year:
2009 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text