The tail empirical process for long memory stochastic volatility models with leverage (Q2326064)
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scientific article; zbMATH DE number 7113723
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| default for all languages | No label defined |
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| English | The tail empirical process for long memory stochastic volatility models with leverage |
scientific article; zbMATH DE number 7113723 |
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The tail empirical process for long memory stochastic volatility models with leverage (English)
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4 October 2019
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long memory
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tail empirical process
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Hill estimator
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harmonic mean estimator
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stochastic volatility
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leverage
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0.92691433
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0.91058046
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0.88574976
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0.8798901
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0.8776345
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0.8770218
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