On the tail index inference for heavy-tailed GARCH-type innovations

被引：0

作者：

Moosup Kim

Sangyeol Lee

机构：

[1] Seoul National University,Department of Statistics

来源：

Annals of the Institute of Statistical Mathematics | 2016年 / 68卷

关键词：

Tail index; Hill’s estimator; Power-transformed and threshold GARCH model; ARMA–GARCH model; Residuals ; Smoothing Hill plot; Change point test;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this study, we investigate the smoothing Hill plot and change point test for the tail index of power-transformed and threshold generalized autoregressive conditional heteroscedasticity (PTTGARCH) and autoregressive and moving average (ARMA)–GARCH innovations. It is shown that their asymptotic properties are the same as those in the i.i.d. sample case. For illustration, we provide a simulation study and real data analysis.

引用

页码：237 / 267

页数：30

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