# Extremes of stochastic volatility models

@article{Davis1998ExtremesOS, title={Extremes of stochastic volatility models}, author={Richard A. Davis and Thomas Mikosch}, journal={Annals of Applied Probability}, year={1998}, volume={8}, pages={355-364} }

We consider extreme value theory for stochastic volatility processes in both cases of light-tailed and heavy-tailed noise. First, the asymptotic behavior of the tails of the marginal distribution is described for the two cases when the noise distribution is Gaussian or heavy-tailed. The sequence of point processes, based on the locations of the suitable normalized observations from a stochastic volatility process, converges in distribution to a Poisson process. From the point process…

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