کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156840 | 958880 | 2011 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The tail empirical process for long memory stochastic volatility sequences
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper describes the limiting behaviour of tail empirical processes associated with long memory stochastic volatility models. We show that such a process has dichotomous behaviour, according to an interplay between the Hurst parameter and the tail index. On the other hand, the tail empirical process with random levels never suffers from long memory. This is very desirable from a practical point of view, since such a process may be used to construct the Hill estimator of the tail index. To prove our results we need to establish new results for regularly varying distributions, which may be of independent interest.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 1, January 2011, Pages 109–134
Journal: Stochastic Processes and their Applications - Volume 121, Issue 1, January 2011, Pages 109–134
نویسندگان
Rafał Kulik, Philippe Soulier,