The tail empirical process for long memory stochastic volatility models with leverage
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Publication:2326064
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
stochastic volatility; long memory; leverage; Hill estimator; tail empirical process; harmonic mean estimator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G32: Statistics of extreme values; tail inference
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