Occurrence of exceedances in a finite perpetuity
<p>Generated by stochastic recursions, perpetuities encompass a vast range of discretetime financial behaviours. When focusing on the dramatic changes occurring in such processes, the analysis of threshold exceedances provides an extensive description of their underlying mechanisms. Asymptoti...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2004
|
| Subjects: |