The tail empirical process for long memory stochastic volatility models with leverage

DOI10.1214/19-EJS1595zbMath1431.62354MaRDI QIDQ2326064

Clemonell Bilayi-Biakana, Rafał Kulik, B. Gail Ivanoff

Publication date: 4 October 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1569398616

zbMATH Keywords

stochastic volatility; long memory; leverage; Hill estimator; tail empirical process; harmonic mean estimator

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G32: Statistics of extreme values; tail inference

Related Items

Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series, Integral functionals and the bootstrap for the tail empirical process

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