The next EVTA seminars will take place in Room HG-05A16, Main Building, Vrije Universiteit Amsterdam.
Address: De Boelelaan 1105, 1081 HV Amsterdam.We regret to inform you that due to the ongoing strike in France, the scheduled session by our invited speaker, Stéphane Girard, has been postponed to the next EVTA seminar. However, we are pleased to announce that we have arranged for two exceptional local speakers to present at the upcoming seminar. We apologize for any inconvenience caused and we look forward to welcoming you to the event.
Title: Rethinking Tail Inference
Abstract: I will discuss co-authored papers that explore different origins of power laws and demonstrate how they impact the asymptotics of extreme value statistics. Furthermore, I will highlight the interconnected nature of heavy tail phenomena with other important phenomena encountered in economics and finance, such as heterogeneity and approximate sparsity. Recognizing these relationships can enable us to develop more comprehensive solutions to address the challenges of tail inference.
Title: : Detecting structural changes in the tail-index of long memory stochastic volatility time series
Abstract: We consider a change-point test based on the Hill estimator to test for structural changes in the tail index of long-memory stochastic volatility (LMSV) time series. In order to determine the asymptotic distribution of the corresponding test statistic, we prove a uniform reduction principle for the tail empirical process in a two-parameter Skorohod space. It is shown that such a process displays a dichotomous behavior according to an interplay between the Hurst parameter, i.e. a parameter characterizing the dependence in the data, and the tail index. We will see that, nonetheless, long-memory does not have an influence on the asymptotic behavior of the test statistic.