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

DOI10.1016/J.JSPI.2010.07.007zbMATH Open1209.62245OpenAlexW4300701408MaRDI QIDQ607175FDOQ607175

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

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zbMATH Keywords

tail dependence Hill estimator stochastic volatility convolution tail

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (12)

Sequential monitoring of the tail behavior of dependent data
A stochastic volatility model with flexible extremal dependence structure
The tail empirical process for long memory stochastic volatility sequences
Are there common values in first-price auctions? A tail-index nonparametric test
A Fourier analysis of extreme events
Extremal Dependence-Based Specification Testing of Time Series
Tail and nontail memory with applications to extreme value and robust statistics
Quantile correlation coefficient: a new tail dependence measure
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
Jump tails, extreme dependencies, and the distribution of stock returns
On the measurement and treatment of extremes in time series
Least tail-trimmed squares for infinite variance autoregressions

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