The tail empirical process for long memory stochastic volatility sequences
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- Durieu, Olivier & Wang, Yizao, 2022. "Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 55-88.
- Xiao Wang & Lihong Wang, 2024. "A tail index estimation for long memory processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(8), pages 947-971, November.
- Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.
- Rodríguez-Aguilar, Román & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter," MPRA Paper 59046, University Library of Munich, Germany.
- Rafal Kulik & Philippe Soulier, 2013. "Heavy tailed time series with extremal independence," Papers 1307.1501, arXiv.org, revised Oct 2014.
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Keywords
Long memory Tail empirical process Hill estimator Tail empirical distribution function Stochastic volatility;Statistics
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