Extremal behavior of stochastic volatility models
By Vicky Fasen, Claudia Klüppelberg, A. Lindner. 2006
55 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/42239336c5cc401f9456b18075121dfadd18e8e4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Peter J. Brockwell
- Zenghu Li
- Chunhua Ma
- Claudia Klüppelberg
- V. Todorov
- A. Lindner
- Vicky Fasen
- Erdenebaatar Chadraa
In Management Science and Operations Research
- Zenghu Li
- Chunhua Ma
- Claudia Klüppelberg
- Peter J. Brockwell
- Vicky Fasen
- A. Lindner
- Qihe Tang
- V. Todorov
Citations in the corpus
- Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “Another interesting feature of Lévy–driven OU processes ithat their extreme behaviour can be rather diverse, since it is determined by the tail behaviourf the increments of the driving Lévy process, see e.g. Fasen et al. (2006), Klüppelberg & Lindner (2010).”
- Convolution equivalence and distributions of random sums (2008, unknown): “370 T. Watanabe by [6, 14 ,18,24,29,34]. See also [7].”
- Continuous-time GARCH processes (2006, background): “The Annals of Applied Probability 2006, Vol. 16, No. 2, 790–826 DOI: 10.1214/105051606000000150 © Institute of Mathematical Statistics, 2006”
- On strong solutions for positive definite jump diffusions (2009, unknown): “e positive semidefinite extensions of the univariate GARCH diffusions of [36] or of so-called generalised ON STRONG SOLUTIONS FOR POSITIVE DEFINITE JUMP DIFFUSIONS 3 Cox-Ingersoll-Ross models (cf. e.g. [6, 22]), where the square root in the diffusion part of (1.1) is replaced by the α-th positive semid”
- Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model (2013, methodology): “The reader may refer to Borkovec and Klüppelberg (1998), Embrechts et al. (1997, Section 7.6) and Fasen et al. (2006) for similar modifications of the CIR-model.”
- Extremes of supOU Processes (2007, background): “It has also been shown in Fasen, Klüppelberg and Lindner [12] that both models can only model volatility clusters, if they have Pareto-like tails; i. e. the COGARCH model always does (under weak regularity conditions), and the OU-type model does, if the Lévy process has Pareto-like increments.”
- Method of Moment Estimation in the Cogarch(1,1) Model (2007, unknown): “Such processes are diffusion limits to discrete time GARCH models, where, unfortunately, many of the above features of the GARCH process are wiped out in the limit; see [5].”