The tail empirical process for long memory stochastic volatility models with leverage

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

zbMATH Keywords

stochastic volatilitylong memoryleverageHill estimatortail empirical processharmonic mean estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series ⋮ Integral functionals and the bootstrap for the tail empirical process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On leverage in a stochastic volatility model
• Tail index estimation in the presence of long-memory dynamics
• The tail empirical process for long memory stochastic volatility sequences
• Weak convergence of the tail empirical process for dependent sequences
• Limit theorems for tail processes with application to intermediate quantile estimation
• The detection and estimation of long memory in stochastic volatility
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
• The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
• Heavy tailed time series with extremal independence
• Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
• The harmonic moment tail index estimator: asymptotic distribution and robustness
• On idiosyncratic stochasticity of financial leverage effects
• Point process convergence of stochastic volatility processes with application to sample autocorrelation
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Long Memory in Nonlinear Processes
• Long-Memory Processes
• GARCH Models
• On weak convergence of random fields

This page was built for publication: The tail empirical process for long memory stochastic volatility models with leverage