Extremal memory of stochastic volatility with an application to tail shape inference

DOI10.17615/fxgd-ww17 10.1016/j.jspi.2010.07.007; 10.17615/fxgd-ww17zbMath1209.62245MaRDI QIDQ607175

Jonathan B. Hill

Publication date: 19 November 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17615/fxgd-ww17

zbMATH Keywords

stochastic volatility; Hill estimator; tail dependence; convolution tail

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

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