High Quantile Estimation for some Stochastic Volatility Models
Luo, Ling
Abstract
Open-access reader
Luo, Ling
Abstract
Open-access reader
In this thesis we consider estimation of the tail index for heavy tailed stochastic volatility models with long memory. We prove a central limit theorem for a Hill estimator. In particular, it is shown that neither the rate of convergence nor the asymptotic variance is affected by long memory. The theoretical findings are verified by simulation studies.
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In this thesis we consider estimation of the tail index for heavy tailed stochastic volatility models with long memory. We prove a central limit theorem for a Hill estimator. In particular, it is shown that neither the rate of convergence nor the asymptotic variance is affected by long memory. The theoretical findings are verified by simulation studies.
Key concepts: Quantile, Econometrics, Stochastic volatility, Estimation, Volatility (finance), Economics, Computer science, Mathematics