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

DOI10.1007/s10463-014-0495-4zbMath1440.62332OpenAlexW2054187692MaRDI QIDQ263253

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

tail indexresidualsARMA-GARCH modelchange point testHill's estimatorpower-transformed and threshold GARCH modelsmoothing Hill plot

Mathematics Subject Classification ID

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

Related Items (2)

A class of bootstrap tests on the tail index ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility

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