2020/06/04 by Annika Betken, Betken, Annika, Davide Giraudo +3
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.ST #stat.TH
paper · pdf · doi:10.48550/arxiv.2006.02667
arxiv created 2020/06/04 · openalex publication_date 2020/06/04 · arxiv updated 2020/06/05 · openalex created_date 2022/09/12 · openalex updated_date 2026/07/28
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 characterizing the dependence in the data, and the tail index. Our theoretical results are accompanied by simulation studies and the analysis of financial time series with regard to structural changes in the tail index.