most citedThe Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics

10 citations · 10 across the 1 of their papers we have counts for

collaborators
Showing math.PRShow all

1 paper · 1 filter

math.PR2019

Asymptotic Results for Heavy-tailed Lévy Processes and their Exponential Functionals

Wei Xu

In this paper we first provide several conditional limit theorems for Lévy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic beha…