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

We consider a change-point test based on the Hill estimator to for structural changes in tail index of Long Memory Stochastic Volatility time series. In order determine asymptotic distribution corresponding statistic, we prove uniform reduction principle empirical process two-parameter Skorohod space. It is shown that such displays dichotomous behavior according an interplay between Hurst parameter, i.e., parameter characterizing dependence data, and index. Our theoretical results are accompanied by simulation studies analysis financial series with regard