Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Tail Behavior of Multivariate Lévy-Driven Mixed Moving Average Processes and supOU Stochastic Volatility Models
Multivariate Lévy-driven mixed moving average (MMA) processes of the type Xt = ∫ ∫ f(A, t − s)Λ(dA, ds) cover a wide range of well known and extensively used processes such as Ornstein-Uhlenbeck processes, superpositions of Ornstein-Uhlenbeck (supOU) processes, (fractionally integrated) CARMA processes and increments of fractional Lévy processes. In this paper, we introduce multivariate MMA pro...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2011
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1324045701