Extreme Distribution of a Generalized Stochastic Volatility Model,

Aliou Diop (1) , Dominique Guegan (1)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie

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.

Mots clés: Extreme value theory; Generalized error distribution; Asymptotic theory

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Aliou Diop, Dominique Guegan. Extreme Distribution of a Generalized Stochastic Volatility Model,. South African Journal of Statistics,, 2003, 37, pp.127 - 148. ⟨halshs-00188535⟩