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

Moosup Kim and Sangyeol Lee ()

Annals of the Institute of Statistical Mathematics, 2016, vol. 68, issue 2, 237-267

Abstract: 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. Copyright The Institute of Statistical Mathematics, Tokyo 2016

Keywords: Tail index; Hill’s estimator; Power-transformed and threshold GARCH model; ARMA–GARCH model; Residuals; Smoothing Hill plot; Change point test (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10463-014-0495-4 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:68:y:2016:i:2:p:237-267

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-014-0495-4

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().