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Large deviations for heavy-tailed factor models

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  • Svensson, Jens
  • Djehiche, Boualem

Abstract

We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. Depending on the regions considered, probabilities are determined by different parts of the model.

Suggested Citation

  • Svensson, Jens & Djehiche, Boualem, 2009. "Large deviations for heavy-tailed factor models," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 304-311, February.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:3:p:304-311
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    References listed on IDEAS

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    1. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
    2. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
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