scholarly journals Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series

2023 ◽  
Author(s):  
Annika Betken ◽  
Davide Giraudo ◽  
Rafal Kulik
Keyword(s):  
Time Series ◽  
Stochastic Volatility ◽  
Long Memory ◽  
Change Point

Testing for Change in Long‐Memory Stochastic Volatility Time Series

2019 ◽  
Vol 40 (5) ◽  
pp. 707-738 ◽  
Author(s):  
Annika Betken ◽  
Rafał Kulik
Keyword(s):  
Time Series ◽  
Stochastic Volatility ◽  
Long Memory
Sign in / Sign up

Export Citation Format

Share Document