A stochastic volatility model with flexible extremal dependence structure
نویسندگان
چکیده
منابع مشابه
Stochastic volatility models with possible extremal clustering
In this paper we consider a heavy-tailed stochastic volatility model, Xt = σtZt , t ∈ Z, where the volatility sequence (σt ) and the i.i.d. noise sequence (Zt ) are assumed independent, (σt ) is regularly varying with index α > 0, and the Zt ’s have moments of order larger than α. In the literature (see Ann. Appl. Probab. 8 (1998) 664–675, J. Appl. Probab. 38A (2001) 93–104, In Handbook of Fina...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2016
ISSN: 1350-7265
DOI: 10.3150/15-bej699