Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Wrap-up<br />
• Regular variation is a flexible tool <strong>for</strong> model<strong>in</strong>g both dependence<br />
and tail heav<strong>in</strong>ess.<br />
• Useful <strong>for</strong> establish<strong>in</strong>g po<strong>in</strong>t process convergence of heavy-tailed<br />
time series.<br />
• Extremal <strong>in</strong>dex γ < 1 <strong>for</strong> GARCH and γ =1<strong>for</strong> SV.<br />
Unresolved issues related to RV⇔ (LC)<br />
• α = 2n?<br />
• there is an example <strong>for</strong> which X 1 , X 2 > 0, and (c, X 1 ) and (c, X 2 )<br />
have the same limits <strong>for</strong> all c > 0.<br />
• α = 2n−1 and X > 0 (not true <strong>in</strong> general).<br />
MaPhySto Workshop 9/04<br />
104
Change language