Extreme Distribution of a Generalized Stochastic Volatility Model,

We study the asymptotic behaviour of the extreme values of a stochastic volatility model when the noise follows a generalized error distribution extreme. We provide a Monte Carlo experiment to illustrate th choice of the assumptions. We deal also with the finite sample behaviour of the normalized maxima.

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Year of publication:	2003
Authors:	Diop, Aliou ; Guegan, Dominique
Institutions:	HAL
Subject:	Extreme value theory \| Generalized error distribution \| Asymptotic theory

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00188535/en/ Published, South African Journal of Statistics,, 2003, 37, 127 - 148
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008792442