Regularly Varying Time Series with Long Memory: Probabilistic Properties and Estimation
We consider tail empirical processes for long memory stochastic volatility models with heavy tails and leverage. We show a dichotomous behaviour for the tail empirical process with fixed levels, according to the interplay between the long memory parameter and the tail index; leverage does not play...
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| Format: | Others |
| Language: | en |
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Université d'Ottawa / University of Ottawa
2020
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| Online Access: | http://hdl.handle.net/10393/40083 |