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Precise large deviations for dependent regularly varying sequences

dc.contributor.authorWintenberger, Olivier
dc.contributor.authorMikosch, Thomas
dc.date.accessioned2012-07-03T14:29:00Z
dc.date.available2012-07-03T14:29:00Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9687
dc.language.isoenen
dc.subjectGARCHen
dc.subjectstochastic volatility modelen
dc.subjectMarkov processesen
dc.subjectregular variationen
dc.subjectlarge deviation principleen
dc.subjectstationary sequenceen
dc.subject.ddc519en
dc.titlePrecise large deviations for dependent regularly varying sequencesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratory of Actuarial Mathematics University of Copenhagen;Danemark
dc.description.abstractenWe study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of A.V. Nagaev (1969) and S.V. Nagaev (1979) for iid regularly varying sequences. The proof uses an idea of Jakubowski (1993,1997) in the context of centra limit theorems with infinite variance stable limits. We illustrate the principle for \sv\ models, functions of a Markov chain satisfying a polynomial drift condition and solutions of linear and non-linear stochastic recurrence equations.en
dc.relation.isversionofjnlnameProbability Theory and Related Fields
dc.relation.isversionofjnlvol156
dc.relation.isversionofjnlissue3-4
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages851-887
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00440-012-0445-0
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00705107en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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