High Quantile Estimation for some Stochastic Volatility Models

High Quantile Estimation for some Stochastic Volatility Models

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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 t...

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Bibliographic Details
Main Author: Luo, Ling
Language:en
Published: 2011
Subjects:
stochastic volatility
long memory
Online Access:http://hdl.handle.net/10393/20295
id ndltd-LACETR-oai-collectionscanada.gc.ca-OOU.#10393-20295
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spelling ndltd-LACETR-oai-collectionscanada.gc.ca-OOU.#10393-202952013-10-04T04:23:02ZHigh Quantile Estimation for some Stochastic Volatility ModelsLuo, Lingstochastic volatilitylong memoryIn 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.2011-10-05T20:26:40Z2011-10-05T20:26:40Z20112011-10-05Thèse / Thesishttp://hdl.handle.net/10393/20295en
collection NDLTD
language en
sources NDLTD
topic stochastic volatility
long memory
spellingShingle stochastic volatility
long memory
Luo, Ling
High Quantile Estimation for some Stochastic Volatility Models
description 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.
author Luo, Ling
author_facet Luo, Ling
author_sort Luo, Ling
title High Quantile Estimation for some Stochastic Volatility Models
title_short High Quantile Estimation for some Stochastic Volatility Models
title_full High Quantile Estimation for some Stochastic Volatility Models
title_fullStr High Quantile Estimation for some Stochastic Volatility Models
title_full_unstemmed High Quantile Estimation for some Stochastic Volatility Models
title_sort high quantile estimation for some stochastic volatility models
publishDate 2011
url http://hdl.handle.net/10393/20295
work_keys_str_mv AT luoling highquantileestimationforsomestochasticvolatilitymodels
_version_ 1716603548723052544

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