Open AccessThe tail empirical process for long memory stochastic volatility models with leverage
Author(s) -
Clémonell Bilayi-Biakana,
Gail Ivanoff,
Rafał Kulik
Publication year - 2019
Publication title -
electronic journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.482
H-Index - 54
ISSN - 1935-7524
DOI - 10.1214/19-ejs1595
Subject(s) - estimator , leverage (statistics) , mathematics , econometrics , stochastic volatility , volatility (finance) , long memory , limiting , empirical research , statistical physics , statistics , mechanical engineering , physics , engineering
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