Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series

DOI10.5705/SS.202020.0265MaRDI QIDQ6092958zbMATH OpenOpenAlexFDO

Authors Annika Betken, Davide Giraudo, Rafał Kulik

Publication date 23 November 2023

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.02667

zbMATH Keywords

chainingchange-point testsheavy tailslong-range dependencestochastic volatilitytail empirical process

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We consider a change-point test based on the Hill estimator to test for structural changes in the tail index of Long Memory Stochastic Volatility time series. In order to determine the asymptotic distribution of the corresponding test statistic, we prove a uniform reduction principle for the tail empirical process in a two-parameter Skorohod space. It is shown that such a process displays a dichotomous behavior according to an interplay between the Hurst parameter, i.e., a parameter characterizing the dependence in the data, and the tail index. Our theoretical results are accompanied by simulation studies and the analysis of financial time series with regard to structural changes in the tail index.

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