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| Untersuchte Arbeit: Seite: 85, Zeilen: 27-32 |
Quelle: Davis und Mikosch 2006 Seite(n): 1, 8, Zeilen: 1: 23-27; 8: 28-29 |
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| In addition to this Davis and Mikosch (2006b) showed that unlike the situation for GARCH processes (Davis and Mikosch (2006a)), there is no extremal clustering for SV processes in both the light- and heavy-tailed cases. That is, large values of the processes do not come in clusters. More precisely, the large sample behaviour of maxima is the same as that of the maxima of the associated iid sequence. So while both stochastic volatility and GARCH processes exhibit volatility clustering, only the GARCH has clustering of extremes. | Interestingly, and unlike the situation for GARCH processes (see Davis and Mikosch [5]), there is no extremal clustering for stochastic volatility processes in both the light- and heavy-tailed cases. That is, large values of the processes do not come in clusters. More precisely, the large sample behavior of Mn is the same as that of the maxima of the associated iid sequence [...]
[Seite 8: 28-29] So while both stochastic volatility and GARCH processes exhibit volatility clustering, only the GARCH has clustering of extremes. |
Nichts wurde als Übernahme gekennzeichnet; dass dieser Abschnitt selbst wörtlich aus "Davis and Mikosch (2006b)" stammt, wird überhaupt nicht ersichtlich. Der Verweis auf Davis and Mikosch (2006a) stammt auch aus der Quelle. |
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