In this thesis we consider estimation of the tail index for heavy tailed stochastic volatility models with long memory. We prove a central limit theorem for a Hill estimator. In particular, it is shown that neither the rate of convergence nor the asymptotic variance is affected by long memory. The theoretical findings are verified by simulation studies. ii
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
The focus of the volatility literature on forecasting and the predominance of the conceptually simpl...
Recent studies have suggested that stock markets' volatility has a type of long-range dependenc...
In this thesis we consider estimation of the tail index for heavy tailed stochastic volatility model...
AbstractThis paper describes the limiting behaviour of tail empirical processes associated with long...
This paper considers the persistence found in the volatility of many financial time series by means ...
We consider the question in how far long memory in volatility affects the asymptotic distribution of...
In this paper we analyze the asymptotic properties of the popular distribution tail index estimator ...
ABSTRACT We characterize joint tails and tail dependence for a class of stochastic volatility proces...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
In this work we discuss tail index estimation for heavy-tailed distributions with an emphasis on rob...
Inspired by the idea that regime switching may give rise to persistence that is observationally equi...
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
The focus of the volatility literature on forecasting and the predominance of the conceptually simpl...
Recent studies have suggested that stock markets' volatility has a type of long-range dependenc...
In this thesis we consider estimation of the tail index for heavy tailed stochastic volatility model...
AbstractThis paper describes the limiting behaviour of tail empirical processes associated with long...
This paper considers the persistence found in the volatility of many financial time series by means ...
We consider the question in how far long memory in volatility affects the asymptotic distribution of...
In this paper we analyze the asymptotic properties of the popular distribution tail index estimator ...
ABSTRACT We characterize joint tails and tail dependence for a class of stochastic volatility proces...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
In this work we discuss tail index estimation for heavy-tailed distributions with an emphasis on rob...
Inspired by the idea that regime switching may give rise to persistence that is observationally equi...
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
The focus of the volatility literature on forecasting and the predominance of the conceptually simpl...
Recent studies have suggested that stock markets' volatility has a type of long-range dependenc...