On the tail index inference for heavy-tailed GARCH-type innovations

DOI10.1007/S10463-014-0495-4MaRDI QIDQ263253zbMATH OpenOpenAlexFDO

Authors Moosup Kim, Sangyeol Lee

Publication date 4 April 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-014-0495-4

zbMATH Keywords

ARMA-GARCH modelchange point testHill's estimatorpower-transformed and threshold GARCH modelresidualssmoothing Hill plottail index

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(6)

• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
• A class of bootstrap tests on the tail index
• Extreme conditional tail risk inference in ARMA-GARCH models

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