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: | Benjamin, N, Benjamin, Nathanaël Alexandre |
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Other Authors: | Reinert, G |
Format: | Thesis |
Language: | English |
Published: |
2004
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Subjects: |
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