Open AccessChange-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
Author(s) -
Annika Betken,
Davide Giraudo,
Rafał Kulik
Publication year - 2021
Publication title -
statistica sinica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.24
H-Index - 77
eISSN - 1996-8507
pISSN - 1017-0405
DOI - 10.5705/ss.202020.0265
Subject(s) - estimator , mathematics , series (stratigraphy) , stochastic volatility , statistic , test statistic , volatility (finance) , econometrics , hurst exponent , parameter space , asymptotic distribution , long memory , statistics , statistical physics , statistical hypothesis testing , physics , biology , paleontology
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