Extreme Distribution of a Generalized Stochastic Volatility Model,Report as inadecuate




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1 IDHE - Institutions et Dynamiques Historiques de l-Economie

Abstract : 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.

Keywords : Asymptotic theory Extreme value theory Generalized error distribution





Author: Aliou Diop - Dominique Guegan -

Source: https://hal.archives-ouvertes.fr/



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