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
International audienceMany estimators of the extreme value index are functions of the $k_n$ largest ...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
If one applies the Hill, Pickands or Dekkers-Einmahl-de Haan estimators of the tail index of a distr...
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 ...
In this work we discuss tail index estimation for heavy-tailed distributions with an emphasis on rob...
ABSTRACT We characterize joint tails and tail dependence for a class of stochastic volatility proces...
In this paper we analyze the asymptotic properties of the popular distribution tail index estimator ...
Abstract: In this paper, we analyse the finite sample properties of a Quasi-Maximum Likelihood (QML)...
In this paper, we analyse the finite sample properties of a Quasi-Maximum Likelihood (QML) estimator...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
We consider the question in how far long memory in volatility affects the asymptotic distribution of...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
AbstractConsider a near-integrated time series driven by a heavy-tailed and long-memory noise εt=∑j=...
International audienceMany estimators of the extreme value index are functions of the $k_n$ largest ...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
If one applies the Hill, Pickands or Dekkers-Einmahl-de Haan estimators of the tail index of a distr...
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 ...
In this work we discuss tail index estimation for heavy-tailed distributions with an emphasis on rob...
ABSTRACT We characterize joint tails and tail dependence for a class of stochastic volatility proces...
In this paper we analyze the asymptotic properties of the popular distribution tail index estimator ...
Abstract: In this paper, we analyse the finite sample properties of a Quasi-Maximum Likelihood (QML)...
In this paper, we analyse the finite sample properties of a Quasi-Maximum Likelihood (QML) estimator...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
We consider the question in how far long memory in volatility affects the asymptotic distribution of...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
AbstractConsider a near-integrated time series driven by a heavy-tailed and long-memory noise εt=∑j=...
International audienceMany estimators of the extreme value index are functions of the $k_n$ largest ...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
If one applies the Hill, Pickands or Dekkers-Einmahl-de Haan estimators of the tail index of a distr...