منابع مشابه
Extremes of supOU processes
Barndorff-Nielsen and Shephard [3] investigate supOU processes as volatility models. Empirical volatility has tails heavier than normal, long memory in the sense that the empirical autocorrelation function decreases slower than exponential, and exhibits volatility clusters on high levels. We investigate supOU processes with respect to these stylized facts. The class of supOU processes is vast a...
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ژورنال
عنوان ژورنال: TEST
سال: 2013
ISSN: 1133-0686,1863-8260
DOI: 10.1007/s11749-013-0326-6