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

  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},
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… 

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