Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s10687-021-00428-0.pdf
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3. Barndorff-Nielsen, O.E., Shephard, N.: Non-gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J. R. Stat. Soc. Ser. B 63, 167–241 (2001)
4. Benth, F.E., Pircalabu, A.: A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Appl. math. finance 25, 36–65 (2018)
5. Braverman, M., Samorodnitsky, G.: Functionals of infinitely divisible stochastic processes with exponential tails. Stoch. Process. Their Appl. 56(2), 207–231 (1995)
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