In this paper we study the extremal behavior of a stationary continuous-time moving average process for , where f is a deterministic function and L is a Lévy process whose increments, represented by L(1), are subexponential and in the maximum domain of attraction of the Gumbel distribution. We...

In this paper we consider a continuous-time autoregressive moving average (CARMA) process (Yt)t∈R driven by a symmetric α-stable Lévy process with α∈(0,2] sampled at a high-frequency time-grid {0,Δn,2Δn,…,nΔn}, where the observation grid gets finer and the last observation tends to...