Occurrence of exceedances in a finite perpetuity
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. Asymptotically, an...
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University of Oxford
2004
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413981 |