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- Title:
Extremes of continuous-time processes
- Document type:
- Buchbeitrag
- Author(s):
- Fasen, V.
- Artist:
- Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T. (Eds.)
- 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
- WWW:
- http://link.springer.com/chapter/10.1007/978-3-540-71297-8_28
- Semester:
- SS 09
- Format:
- Text
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