Extremes of Continuous–Time Processes

Vicky Fasen ()
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Vicky Fasen: Zentrum Mathematik, Technische Universität München

Chapter 28 in Handbook of Financial Time Series, 2009, pp 653-667 from Springer

Abstract: 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.

Keywords: Sample Maximum; Stochastic Volatility Model; Extremal Index; Tail Behavior; Uhlenbeck Process (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_28

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DOI: 10.1007/978-3-540-71297-8_28

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