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

@article{Betken2020ChangePointTF,
  title={Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series},
  author={Annika Betken and Davide Giraudo and Rafal Kulik},
  journal={Statistica Sinica},
  year={2020}
}
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… 

Figures and Tables from this paper

References

SHOWING 1-10 OF 48 REFERENCES
The tail empirical process for long memory stochastic volatility sequences
Testing for Change in Long‐Memory Stochastic Volatility Time Series
In this article, change‐point problems for long‐memory stochastic volatility (LMSV) models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under
CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES
The tail index as a measure of tail thickness provides information that is not captured by standard volatility measures. It may however change over time. Currently available procedures for detecting
The tail empirical process for long memory stochastic volatility models with leverage
We consider tail empirical processes of long memory stochastic volatility models with heavy tails and leverage. We study the limiting behaviour of the tail empirical process with both fixed and
Change point test of tail index for autoregressive processes
Structural Change Tests in Tail Behaviour and the Asian Crisis
This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a
Change point test for tail index for dependent data
To test for the constancy of tail index, Quintos et al. (Rev Econ Stud 68:633–663, 2001) proposed three types of change point tests for independent and ARCH type sequences. In this paper, we
Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
This paper studies tests for covariance stationarity under conditions which permit failure in the existence of fourth order moments. The problem is important because many econometric diagnostics such
Long memory in stochastic volatility
...
...