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

被引：6

作者：

Kim, Moosup ^{[1
]}

Lee, Sangyeol ^{[1
]}

机构：

[1] Seoul Natl Univ, Dept Stat, Seoul 151747, South Korea

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2016年 / 68卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

Tail index; Hill's estimator; Power-transformed and threshold GARCH model; ARMA-GARCH model; Residuals; Smoothing Hill plot; Change point test; LIKELIHOOD ESTIMATORS; MODELS; PARAMETERS; EXPONENT; TESTS;

D O I：

10.1007/s10463-014-0495-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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：31

共 50 条

[1] On the tail index inference for heavy-tailed GARCH-type innovations
Moosup Kim
Sangyeol Lee
Annals of the Institute of Statistical Mathematics, 2016, 68 : 237 - 267
[2] Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
Zhang, Rongmao
Sin, Chor-yiu
Ling, Shiqing
ECONOMETRIC REVIEWS, 2025,
[3] Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
Luger, Richard
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2012, 56 (11) : 3198 - 3211
[4] Characteristic function-based inference for GARCH models with heavy-tailed innovations
Dalla, Violetta
Bassiakos, Yannis
Meintanis, Simos G.
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2017, 46 (04) : 2733 - 2755
[5] EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY-TAILED INNOVATIONS
Guo, Zi-Yi
BULLETIN OF ECONOMIC RESEARCH, 2019, 71 (03) : 359 - 387
[6] Inference in ARCH and GARCH models with heavy-tailed errors
Hall, P
Yao, QW
ECONOMETRICA, 2003, 71 (01) : 285 - 317
[7] Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
Grahovac, Danijel
Jia, Mofei
Leonenko, Nikolai
Taufer, Emanuele
STATISTICS, 2015, 49 (06) : 1221 - 1242
[8] Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations
Hwang, Eunju
MATHEMATICS, 2021, 9 (08)
[9] Fourier inference for stochastic volatility models with heavy-tailed innovations
Ebner, Bruno
Klar, Bernhard
Meintanis, Simos G.
STATISTICAL PAPERS, 2018, 59 (03) : 1043 - 1060
[10] Fourier inference for stochastic volatility models with heavy-tailed innovations
Bruno Ebner
Bernhard Klar
Simos G. Meintanis
Statistical Papers, 2018, 59 : 1043 - 1060

← 1 2 3 4 5 →