Extremes of supOU Processes

@inproceedings{Fasen2007ExtremesOS,
  title={Extremes of supOU Processes},
  author={Vicky Fasen and Claudia Kl{\"u}ppelberg},
  year={2007}
}
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 and can be distinguished by its underlying driving Levy process. Within the classes of convolution… CONTINUE READING

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