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

DOI10.5705/ss.202020.0265arXiv2006.02667OpenAlexW3033880580MaRDI QIDQ6092958

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

stochastic volatilityheavy tailslong-range dependencechainingtail empirical processchange-point tests

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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