20/10/2021, 14:00 — 15:00 — Online
Ana Ferreira, Dept. Matemática do Instituto Superior Técnico
Measuring the fine structure of jump processes through extreme value theory
We shall discuss how the level of activity of jump processes arising from Lévy processes, can be understood from the extreme value index.
We present a new formulation arising from Extreme Value Theory for understanding the fine structure of these time continuous stochastic processes. New estimators and asymptotic properties can be established under first and second order regular variation assumptions.
Proposals for future work will be mentioned.