The tail empirical process for long memory stochastic volatility models with leverage
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DOI: 10.1214/19-ejs1595
Abstract: We consider tail empirical processes of long memory stochastic volatility models with heavy tails and leverage. We study the limiting behaviour of the tail empirical process with both fixed and random levels. We show a… read more here.
Keywords: leverage; memory stochastic; long memory; empirical process ... See more keywords