| Autor: |
Betken, Annika, Giraudo, Davide, Kulik, Rafał |
| Rok vydání: |
2020 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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