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Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver; Xiao, Zhijie - In: Econometric theory 29 (2013) 4, pp. 771-807
Persistent link: https://www.econbiz.de/10010210161
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Model-free inference for tail risk measures
Xu, Ke-Li - In: Econometric theory 32 (2016) 1, pp. 122-153
Persistent link: https://www.econbiz.de/10011578447
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Econometric theory 30 (2014) 1, pp. 3-59
Persistent link: https://www.econbiz.de/10010399788
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Gaussian inference in AR(1) time series with or without a unit root
Phillips, Peter C. B.; Han, Chirok - In: Econometric theory 24 (2008) 3, pp. 631-650
Persistent link: https://www.econbiz.de/10003894277
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Asymptotic inference for ar models with heavy-tailed g-Garch noises
Zhang, Rongmao; Ling, Shiqing - In: Econometric theory 31 (2015) 4, pp. 880-890
Persistent link: https://www.econbiz.de/10011341924
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Inference on two-component mixtures under tail restrictions
Jochmans, Koen; Henry, Marc; Salanié, Bernard - In: Econometric theory 33 (2017) 3, pp. 610-635
Persistent link: https://www.econbiz.de/10011810174
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The global weighted LAD estimators for finite/infinite variance ARMA (p,q) models
Zhu, Ke; Ling, Shiqing - In: Econometric theory 28 (2012) 5, pp. 1065-1086
Persistent link: https://www.econbiz.de/10009714722
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Exploiting infinite variance through dummy variables in nonstationary autoregressions
Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 29 (2013) 6, pp. 1162-1195
Persistent link: https://www.econbiz.de/10010343729
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Stationary integrated Arch(∞) and Ar(∞) processes with finite variance
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - In: Econometric theory 34 (2018) 6, pp. 1159-1179
Persistent link: https://www.econbiz.de/10012038038
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Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao; Chan, Ngai Hang - In: Econometric theory 37 (2021) 5, pp. 892-925
Persistent link: https://www.econbiz.de/10012656388